Agglomerative Independent Variable Group Analysis

Independent Variable Group Analysis (IVGA) is a principle for grouping dependent variables together while keeping mutually independent or weakly dependent variables in separate groups. In this paper an agglomerative method for learning a hierarchy of IVGA groupings is presented. The method resembles hierarchical clustering, but the distance measure is based on a model-based approximation of mutual information between groups of variables. The approach also allows determining optimal cutoff points for the hierarchy. The method is demonstrated to find sensible groupings of variables that ease construction of a predictive model.