Get IV of each feature after applying MulticlassOptimalBinning in multiclass dataset (>2 labels) about optbinning HOT 6 CLOSED

Thank you for your response @guillermo-navas-palencia. After executing the analysis, I have known the properties of binning_table, but I don't get it now. I'm not too good at math, so I don't know the difference between the normalized Jensen-Shannon divergence applied to js and the Jeffrey divergence applied to iv.

• Can you explain it or suggest some tutorial documentation explaining this difference?
• And, the main problem here is that I need iv to choose important fields in the dataset, but I cannot calculate, then rank them for my experiment. It raises the question "Can js replace iv in my problem? How can I prove it?"

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I use the Jensen Shannon for binary and multiclass. See https://en.wikipedia.org/wiki/Jensen%E2%80%93Shannon_divergence.

Yes, you can rank by JS. Both are divergence measures.

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Hi @juyjuyy.

Note that binning quality score for multiclass target is slightly different: https://github.com/guillermo-navas-palencia/optbinning/blob/master/optbinning/binning/metrics.py#L347. It replaces the IV with the normalized Jensen-Shannon divergence. The js property can be retrieved from the multiclass binning table: https://github.com/guillermo-navas-palencia/optbinning/blob/master/optbinning/binning/metrics.py#L347.

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Can you suggest some documents related to the problem I have? @guillermo-navas-palencia

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Thank you for your response @guillermo-navas-palencia ,

1. I wonder why both IV and JS value exists in the binning table with binary classification, but the multi-class classification exists only JS. Could you explain the theory for that? Is IV not used for multi-class problem?
2. I can use the rule of thumb applied for IV to choose features such that IV above 0.1 is the strong predictor. If JS is the value calculated for ranking, how can I know which value I can choose for feature selection?
   Please help me, I really need your reply.

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1. The IV is a divergence measure only suitable for binary target. The JS divergence generalizes the IV allowing multiple categories (multi-class problem).
2. The IV, unlike JS, is unbounded. I found, experimentally, that IV is commonly 5-10 times larger than JS for a binary target. Therefore, a value above 0.02 might work, although I suppose that depends on the number of classes. This is a problem I haven't investigated.

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