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Perform Inference on Algorithm-Agnostic Variable Importance

Last update: 28 August 2023

Copyright license: MIT license, File License

Software version identifier: 2.3.1, 1.0.0, 1.1.0, 1.1.2, 1.1.3, 1.1.4, 1.1.5, 1.1.6, 2.0.1, 2.0.2, 2.1.0, 2.1.6, 2.1.9, 2.2.1, 2.2.2, 2.2.3, 2.2.4, 2.2.5, 2.3.0, 2.3.3

Description

Calculate point estimates of and valid confidence intervals for nonparametric, algorithm-agnostic variable importance measures in high and low dimensions, using flexible estimators of the underlying regression functions. For more information about the methods, please see Williamson et al. (Biometrics, 2020), Williamson et al. (JASA, 2021), and Williamson and Feng (ICML, 2020).

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