Statistical Inference for Variable Importance

@article{Laan2006StatisticalIF,
  title={Statistical Inference for Variable Importance},
  author={Mark J. van der Laan},
  journal={The International Journal of Biostatistics},
  year={2006},
  volume={2}
}
Many statistical problems involve the learning of an importance/effect of a variable for predicting an outcome of interest based on observing a sample of $n$ independent and identically distributed observations on a list of input variables and an outcome. For example, though prediction/machine learning is, in principle, concerned with learning the optimal unknown mapping from input variables to an outcome from the data, the typical reported output is a list of importance measures for each input… CONTINUE READING

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