I have one sample and several features. I calculate a z-score for various features, and for various combinations of features. Is there a way to quantify the significance of the difference between two z-scores?
For example, suppose I calculate a z-score for the combination of features (male, homeowner) and also for the combination (male, homeowner, married). For one scenario, suppose the first z-score is 3.0, and the second z-score is 6.0. For a different scenario, suppose the first z-score is 25.000, and the second z-score is 25.001. I'm trying to determine whether or not (male, homeowner, married) is a better predictor than (male, homeowner). Is there a generally applicable formula to quantify the significance of the difference, perhaps taking into account the sample size?
I have no training in statistics, and am trying to implement a software program. A cookbook formula accompanied by some beginner-appropriate explanation would be ideal and greatly appreciated.