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grezek
Obsidian | Level 7

While I've used EM/Scorecard to recreate scorecards (I'm in model validation), I've never had to select input variables from a large number of potential inputs.  I've tried Interactive Grouping determine the inputs with the highest IV's, but the process choked on the number of input variables (1,400).  What is the standard approach(es)?  In the data I can identify families of inputs.

 

Any suggestions are welcome.  Thank you.  -- George Rezek

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Ksharp
Super User

If I were you, I would use PROC HPGENSELECT or PROC PLS pickup the most 30-40 variables and Group these 30-40 variables by ScoreCard node.

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Ksharp
Super User

If I were you, I would use PROC HPGENSELECT or PROC PLS pickup the most 30-40 variables and Group these 30-40 variables by ScoreCard node.

grezek
Obsidian | Level 7
Thank you very much. I'll investigate and let you know how it goes. Thanks for the help. -- George

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