A Survey of Predictive Modelling under Imbalanced Distributions
This is an incremental survey that organizes existing methods for handling imbalanced distributions, which is a common problem in data mining for domains like finance and risk management.
The paper surveys techniques for predictive modeling on imbalanced datasets, addressing challenges like rare events with high relevance in applications such as fraud detection and catastrophe anticipation, and covers both classification and regression tasks.
Many real world data mining applications involve obtaining predictive models using data sets with strongly imbalanced distributions of the target variable. Frequently, the least common values of this target variable are associated with events that are highly relevant for end users (e.g. fraud detection, unusual returns on stock markets, anticipation of catastrophes, etc.). Moreover, the events may have different costs and benefits, which when associated with the rarity of some of them on the available training data creates serious problems to predictive modelling techniques. This paper presents a survey of existing techniques for handling these important applications of predictive analytics. Although most of the existing work addresses classification tasks (nominal target variables), we also describe methods designed to handle similar problems within regression tasks (numeric target variables). In this survey we discuss the main challenges raised by imbalanced distributions, describe the main approaches to these problems, propose a taxonomy of these methods and refer to some related problems within predictive modelling.