Methods and Systems for Determining the Importance of Individual Variables in Statistical Models

摘要

Methods and systems for determining the importance of each of the variables, or combinations of variables, that contribute to the overall score generated by a predictive statistical model are presented. In a specialized case, for each variable in the model, an importance is calculated based on the calculated slope and deviance of the predictive variable. In a more general case, for each variable in the model, an importance is calculated based on setting that variable to have the average value for the data set, and then calculating the change in score. The totality of variables (or combinations thereof) is then ranked by the Δscore, or a magnitude of it, such as |Δscore|.