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Exploiting Randomness for Feature Selection in Multinomial Logit: a CRM Cross-Sell Application

A. Prinzie () and Dirk Van den Poel ()

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

Abstract: Data mining applications addressing classification problems must master two key tasks: feature selection and model selection. This paper proposes a random feature selection procedure integrated within the multinomial logit (MNL) classifier to perform both tasks simultaneously. We assess the potential of the random feature selection procedure (exploiting randomness) as compared to an expert feature selection method (exploiting domain-knowledge) on a CRM cross-sell application. The results show great promise as the predictive accuracy of the integrated random feature selection in the MNL algorithm is substantially higher than that of the expert feature selection method.

Pages: 15 pages
Date: 2006-05
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:06/390

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