Physical Sciences and Mathematics Commons^™

Nonparametric Variable Importance Assessment Using Machine Learning Techniques, Brian D. Williamson, Peter B. Gilbert, Noah Simon, Marco Carone

UW Biostatistics Working Paper Series

In a regression setting, it is often of interest to quantify the importance of various features in predicting the response. Commonly, the variable importance measure used is determined by the regression technique employed. For this reason, practitioners often only resort to one of a few regression techniques for which a variable importance measure is naturally defined. Unfortunately, these regression techniques are often sub-optimal for predicting response. Additionally, because the variable importance measures native to different regression techniques generally have a different interpretation, comparisons across techniques can be difficult. In this work, we study a novel variable importance measure that can …