Using The Predictive Power Score in R

In recent months Florian Wetschoreck published a story on Toward Data Science's Medium channel that attracted the attention of many data scientists on LinkedIn thanks to its very provocative title: "RIP correlation. Let's see what it is and how to use it in R. The Predictive Power Score (PPS) is a normalized index (it ranges from 0 to 1) that tells us how much the variable x (be it numerical or categorical) could be used to predict the variable y (numerical or categorical). The higher the PPS index, the more the variable x is decisive in predicting the variable y. Basically, PPS is an asymmetric nonlinear index that is applicable to all types of variables for predictive purposes. Behind the scene it implements Decision Trees as learning algorithms due to their robustness to outliers and poor data pre-processing.