Variable Importance Clouds: A Way to Explore Variable Importance for the Set of Good Models

@article{Dong2019VariableIC,
  title={Variable Importance Clouds: A Way to Explore Variable Importance for the Set of Good Models},
  author={Jiayun Dong and Cynthia Rudin},
  journal={CoRR},
  year={2019},
  volume={abs/1901.03209}
}
Variable importance is central to scientific studies, including the social sciences and causal inference, healthcare, and in other domains. However, current notions of variable importance are often tied to a specific predictive model. This is problematic: what if there were multiple well-performing predictive models, and a specific variable is important to some of them and not to others? In that case, we may not be able to tell from a single well-performing model whether a variable is always… CONTINUE READING
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