This repository contains code to apply the Marginal Attribution by Conditioning on Quantiles (MACQ) method of Merz et al. (2021). The code relates to Section 4 of the paper and shows how the MACQ method can be applied to a synthetic example.
Please note that we have used TensorFlow 2.6.0 for this example, as implemented in the R keras package.
Merz, M., Richman, R., Tsanakas, A., & Wüthrich, M. V. (2021). Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3809674