This article explains the concept and use of Friedman's H-statistic for finding interactions in machine learning models.
- The H-stat is a non-parametric method that works well with ordinal variables, and it's useful when the interaction is not linear.
- The H-stat compares the average rank of the response variable for each level of the predictor variable, considering all possible pairs of levels.
- The H-stat calculates the sum of these rank differences and normalizes it by the total number of observations and the number of levels in the predictor variable.
- The lower the H-stat, the stronger the interaction effect.
- The article provides a step-by-step process for calculating the H-stat, using an example with a hypothetical dataset about the effects of asbestos exposure on lung cancer for smokers and non-smokers.
- The author also discusses the assumptions of the H-stat and its limitations, such as the need for balanced data and the inability to detect interactions between more than two variables.
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