shapelyvalueregression夏普利值计算.doc

Getting Better Regression Results with Shapley Value Regression Prepared by the GfK Research Center for Excellence Background Regression models are a convenient method for summarizing hypothetical causal relationships in data. Regression models do not prove that causal relationships exist, but instead they summarize the likely effects if the models are as hypothesized. Regressions are convenient because almost everyone in management has been exposed to regression at some point in either their academic or business career and therefore a modeler does not have to overcome objections based on lack of familiarity. Unfortunately, the high esteem in which regression models are often held, is based on experience with textbook examples where the results fit the hypotheses and model assumptions are not violated. In the real world, use of regression models becomes a much bigger adventure. Uses of Regression Models Regression models can be used for two very different purposes. Many times, the primary purpose of a model is prediction. Which customers are likely to respond to a promotion? Which clients are likely to defect to the competition? How much revenue will we achieve next quarter? If all we want to do is apply a model to achieve gains due to its predictive ability then we are not interested in the components of the model. As long as the model predicts well we are happy. 1 On the other hand, regression models can also be used for inference about the connection between the predictor variables and the variable being predicted. Here we care not only how accurate our predictions are but also how accurate our estimates of the model coefficients are. In situations where the predictors in a model are correlated the standard linear regression procedure produces coefficient estimates that have increased uncertainty. In other words, they can vary quite a lot with little change in the composition of the sample. Assessing Importance in a Regression Model If all of the predictor variab