Advanced Machine Learning with R

Weight of evidence and information value

I stumbled into this method several years ago during consulting work. The team I was on was really into big datasets and constrained to using SAS statistical software. It was also a critical requirement that the customer teams could easily interpret the models. 

Given the possibility of hundreds, even thousands, of possible features, I was privileged enough to learn the use of WOE and IV by a former rocket scientist. That's right: a person who actually worked on manned space flight. I became an eager pupil. Now, this method isn't a panacea. First of all, it's univariate, so features that are thrown out can become significant in a multivariate model and vice versa. I can say that it provides a nice ...