New on Win-Vector: Variable Selection for Sessionized Data

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Illustration: Boris Artzybasheff
photo: James Vaughan, some rights reserved

 

I’ve just put up the next installment of the new “Working with Sessionized Data” series on Win-Vector. As I mentioned in the previous installment, sessionizing log data can potentially lead to very wide data sets, with possibly more variables than there are rows in the training data. In this post, we look at variable selections strategies for this situation — or for any very wide data situation, really.

In the previous installment, we built a regularized (ridge) logistic regression model over all 132 features. This model didn’t perform too badly, but in general there is more danger of overfitting when working with very wide data sets; in addition, it is quite expensive to analyze a large number of variables with standard implementations of logistic regression. In this installment, we will look for potentially more robust and less expensive ways of analyzing this data.

Read the rest of the post here.

Enjoy.

A Couple Recent Win-Vector Posts

I’ve been neglecting to announce my Win-Vector posts here — but I’ve not stopped writing them. Here are the two most recent:

Wanted: A Perfect Scatterplot (with Marginals)

In which I explore how to make what Matlab calls a “scatterhist:” a scatterplot, with marginal distribution plots on the sides. My version optionally adds the best linear fit to the scatterplot:

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I also show how to do with it with ggMarginal(), from the ggExtra package.

Working with Sessionized Data 1: Evaluating Hazard Models

This is the start of a mini-series of posts, discussing the analysis of sessionized log data.

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Log data is a very thin data form where different facts about different individuals are written across many different rows. Converting log data into a ready for analysis form is called sessionizing. We are going to share a short series of articles showing important aspects of sessionizing and modeling log data. Each article will touch on one aspect of the problem in a simplified and idealized setting. In this article we will discuss the importance of dealing with time and of picking a business appropriate goal when evaluating predictive models.

Click on the links to read.

Enjoy.