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ID:40602939
大小:640.91 KB
页数:13页
时间:2019-08-04
《Efficiently Screening Predictor Variables for Logistic Models 》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、NESUG2012Statistics,ModelingandAnalysisPaperSA9EfficientlyScreeningPredictorVariablesforLogisticModelsStevenRaimi,MarketingAssociates,Detroit,MIandWilmington,DEBruceLund,MarketingAssociates,Detroit,MIandWilmington,DEABSTRACTThispaperdiscussesthesituationwhe
2、reamodelermustfitamultinomiallogisticmodelwithnominaltargetandhasavailablehundredsofpotentialpredictorvariables.Suchsituationsmayoccurwhenthird-partydatasetsareaddedtoin-housetransactionaldatafordirectmarketingapplications.Thepaperdiscussesstatisticalmeasur
3、esforevaluatingthepredictivepowerofnumericpredictorvariablesandwhethertheeventualuseofthepredictorinthemodelcouldbeimprovedviaanon-monotonictransformation.Muchofourfocusisonthecasewherethetargetisbinary.Simulatedprobabilitydistributionsforthesestatisticalme
4、asuresarealsodiscussed.Finally,weprovideamethodologyandatoolkit(usingSAS®macros)thatidentifiesasubsetofpredictorsforfurtherstudyandeventualusageinfittingamodel.INTRODUCTIONThepaperdiscussestwostepsintheprocessofidentifyingandpreparingnumericpredictorvariabl
5、esforuseinalogisticregressionmodelwithnominalmultinomialtarget.1.Identifyingwhichnumericvariableshavesufficientpredictivepowertomeritfurtherstudy.2.Fromamongthesevariables,findingwhichhaveanon-monotonicrelationshiptothetargetvariable.Thec-statisticandan"x-s
6、tatistic"(tobedefined)arecomputedfornumericpredictorvariables.ASASmacrocalled%XC_STATisprovidedtoefficientlycomputec-statisticsandx-statisticsforanynumberofthesevariables.ThispaperisanextensionofworkbyRaimiandLund(2011).Cherrie(2007)alsodiscussestheproblemo
7、fpredictorvariablescreeningoflargecollectionsofpotentialpredictorsformultinomiallogisticregression.AgeneralreferenceforadiscussionofvariablescreeningandtransformingisFinlay(2010).C-STATISTICConsideranumeric(orordered)predictorX,andabinarytargetvariableYwith
8、values0and1.LetMgivethecountofpairsofobservationswhereoneobservationhasY=0andtheotherhasY=1.Suchpairsarecalled“informativepairs”.DefineCandTasfollows:C(forConcordant):Countofinformativepairswithahighe
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