11. A storage unit having computer code implementing a method of displaying feature importance in predictive modeling, said method comprising the steps of: calling a regression engine on a set of training data that performs predictive modeling on the set of training data and outputs importance measures for explanatory variables for predicting a target variable; calling a graphical model structural learning module that receives the importance measures output by the regression engine, computes correlational information among the explanatory variables, and outputs a graph on the explanatory variables and representing a feature correlation structure among said explanatory variables; and displaying a feature importance measure, output by the regression engine, for each node in the graph, as an attribute of a node in the graph output by the graphical model structural learning module, to combine the predictive modeling of the regression engine with the feature correlation among the explanatory variables.
11. A storage unit having computer code implementing a method of displaying feature importance in predictive modeling, said method comprising the steps of: calling a regression engine on a set of training data that performs predictive modeling on the set of training data and outputs importance measures for explanatory variables for predicting a target variable; calling a graphical model structural learning module that receives the importance measures output by the regression engine, computes correlational information among the explanatory variables, and outputs a graph on the explanatory variables and representing a feature correlation structure among said explanatory variables; and displaying a feature importance measure, output by the regression engine, for each node in the graph, as an attribute of a node in the graph output by the graphical model structural learning module, to combine the predictive modeling of the regression engine with the feature correlation among the explanatory variables. 14. The storage unit recited in claim 11 , wherein the graphical model of the method of displaying feature importance in predictive modeling is obtained by calling a graphical model structure learning module using as input a correlation matrix between transforms of the input explanatory variables, in which the transform of each categorical variable is obtained by way of uni-variate regression tree with that input variable for the target variable, whereby the input explanatory variables are transformed so as to best predict the target variable.