Variable Selection in Data Mining
数据挖掘中的变量选择
We predict the onset of personal bankruptcy using least squares regression. Although well publicized, only 2,244 bankruptcies occur in our dataset of 2.9 million months of credit-card activity. We use stepwise selection to find predictors of these from a mix of payment history, debt load, demographics, and their interactions. This combination of rare responses and over 67,000 possible predictors leads to a challenging modeling question: How does one separate coincidental…