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Add confidence intervals to permutation feature importance #1840

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rogancarr opened this issue Dec 6, 2018 · 0 comments
Closed

Add confidence intervals to permutation feature importance #1840

rogancarr opened this issue Dec 6, 2018 · 0 comments
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usability Smoothing user interaction or experience
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@rogancarr
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Permutation Feature Importance (aka PFI) computes the importance of a feature to a model by permuting values for that feature, scoring it with the model, and comparing the new evaluation metrics to the original evaluation metrics. For speed, PFI uses only one permutation, and this leads to a bit of randomness in the predicted importances. For example, based on the random seed features can change orderings of importance and permutations can even end up showing to improve the model performance. These issues can be fixed by allowing the calculation of confidence intervals around the feature importance values.

@rogancarr rogancarr added the usability Smoothing user interaction or experience label Dec 6, 2018
@rogancarr rogancarr added this to Done in v0.9 via automation Dec 20, 2018
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