Feature Importance: A Closer Look at Shapley Values and LOCO

Understand

There is much interest lately in explainability in statistics and machine learning.

• One aspect of explainability is to quantify the importance of various features (or covariates).
• Two popular methods for defining variable importance are LOCO (Leave Out COvariates) and Shapley Values.
• We take a look at the properties of these methods and their advantages and disadvantages.