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Exposure weighted coefficients for GLM models varimp #16345

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genrichards opened this issue Jul 31, 2024 · 1 comment
Open

Exposure weighted coefficients for GLM models varimp #16345

genrichards opened this issue Jul 31, 2024 · 1 comment
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@genrichards
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Is your feature request related to a problem? Please describe.
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I noticed that the varimp() for h2o.glm is just the sum of the absolute values of standardised coefficients. Have you ever considered using the exposure weighted coefficients (eg a 5% increase on 50% of the book is more importance than a 100% increase on 1% of the book)
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e.g. a 5% increase on 50% of the book is more importance than a 100% increase on 1% of the book.
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@wendycwong
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@genrichards : Is there any reference on this method?

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