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Variable importance - optional metrics #38

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@JanBenisek

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@JanBenisek

We compute variable importance by calculating Pearson's correlation between scores and target encoded variables:

importance_by_variable = {
utils.clean_predictor_name(predictor): stats.pearsonr(
data[predictor],
y_pred
)[0]
for predictor in self.predictors
}

It'd be nice to choose different correlation (like Kendall)? Pearson assumes normality, but doesn't always hold for the variables considered.

https://datascience.stackexchange.com/questions/64260/pearson-vs-spearman-vs-kendall

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