A common approach is to train a decision tree using the predicted values from a neural network to get measures of variable importance for your inputs. This decision tree is then essentially a surrogate model that acts as a proxy to the complex logic of the neural network. To do this in EM, you would attach a Metadata node after your Neural Network node and set the role to 'Target' for either:
- one of the columns of posterior probabilities from your Neural Network node, e.g. P_TargetEvent where Target is the name of your original binary target and Event is the event level of the target,
- the predicted target, I_Target
The original target should be given the role 'Rejected' now. Then run a Decision Tree to see what variables are important in the model.
You can similarly get variable importance by including a Model Comparison or Score node after the Neural Network node in your flow, then a Reporter node at the end of the flow with the Nodes property set to Summary. This also uses a decision tree to calculate variable importance.
Hope that helps,
Wendy
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