An Exact Game-Theoretic Variable Importance Index for Generalized Additive Models

Author:

Khorrami Chokami Amir12ORCID,Rabitti Giovanni34

Affiliation:

1. ESOMAS Department, University of Torin, Torino, Italy

2. Collegio Carlo Alberto, Torino, Italy

3. Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK

4. Maxwell Institute for Mathematical Sciences, Edinburgh, UK

Funder

European Union - Next Generation EU

Publisher

Informa UK Limited

Reference31 articles.

1. OR Forum—An Algorithmic Approach to Linear Regression

2. Bordt, S., and von Luxburg, U. (2023), “From Shapley Values to Generalized Additive Models and Back,” in Proceedings of The 26th International Conference on Artificial Intelligence and Statistics, Volume 206 of Proceedings of Machine Learning Research, eds. F. Ruiz, J. Dy, and J.-W. van de Meent, pp. 709–745, PMLR.

3. Sensitivity analysis: A review of recent advances

4. Screening: From tornado diagrams to effective dimensions

5. Polynomial calculation of the Shapley value based on sampling

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