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What are the most widely used measures of predictive power of attributes in scoring models?

Motivation: I have a lot of attributes, more than I can study by myself and I want to select somehow the most promising ones. Is IV a good criterion for that? Are there any alternatives?

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  • $\begingroup$ There is a little science about this... $\endgroup$ – user88 Jun 18 '11 at 10:58
  • $\begingroup$ @mbq: Most of the techniques mentioned in the link are time consuming. I'm looking for methods with complexity proportional to the size of the data. IV satisfies this condition, but I have some concerns. I think that it is a bit odd that it takes into account only the relative risk. The number of occurences is not used. $\endgroup$ – Tomek Tarczynski Jun 18 '11 at 13:00

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