A unified approach for inference on algorithm-agnostic variable importance

7 Apr 2020Brian D. WilliamsonPeter B. GilbertNoah R. SimonMarco Carone

In many applications, it is of interest to assess the relative contribution of features (or subsets of features) toward the goal of predicting a response -- in other words, to gauge the variable importance of features. Most recent work on variable importance assessment has focused on describing the importance of features within the confines of a given prediction algorithm... (read more)

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