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8 years ago
On Variable Importance in Logistic Regression

 The model looks good. It’s parsimonious, provides effective segmentation, and the predictors appear to be intuitively reasonable. While there is no problem with deploying results, you need to be able to order the variables in terms of their importance, a seemingly straightforward task. However, this is not as easy to do, as it appears. It’s not at all clear what ‘most important’ means. Important might not mean the same thing to a researcher studying a treatment for an illness, in distinction to a marketer seeking to target his best customers. Then there’s the issue of the type of

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