Measuring Predictor Importance

Max Kuhn and Kjell Johnson
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Max Kuhn: Pfizer Global Research and Development, Division of Nonclinical Statistics
Kjell Johnson: Arbor Analytics

Chapter Chapter 18 in Applied Predictive Modeling, 2013, pp 463-485 from Springer

Abstract: Abstract Many predictive models have built-in or intrinsic measurements of predictor importance and have been discussed in previous chapters. For example, multivariate adaptive regression splines and many tree-based models monitor the increase in performance that occurs when adding each predictor to the model. Others, such as linear regression or logistic regression can use quantifications based on the model coefficients or statistical measures. The methodologies discussed in this chapter are not specific to any predictive model and can be used with numeric (Section 18.1) or categorical (Section 18.2) outcomes. Other modern importance algorithms such as Relief and MIC are presented in Section 18.3. In the Computing Section (18.4) we demonstrate how to implement these remedies in R. Finally, exercises are provided at the end of the chapter to solidify the concepts.

Keywords: Random Forest; Multivariate Adaptive Regression Spline; Importance Score; Continuous Predictor; Fiber Width (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-6849-3_18

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