Shapley Curves: A Smoothing Perspective

11/23/2022
by   Ratmir Miftachov, et al.
0

Originating from cooperative game theory, Shapley values have become one of the most widely used measures for variable importance in applied Machine Learning. However, the statistical understanding of Shapley values is still limited. In this paper, we take a nonparametric (or smoothing) perspective by introducing Shapley curves as a local measure of variable importance. We propose two estimation strategies and derive the consistency and asymptotic normality both under independence and dependence among the features. This allows us to construct confidence intervals and conduct inference on the estimated Shapley curves. The asymptotic results are validated in extensive experiments. In an empirical application, we analyze which attributes drive the prices of vehicles.

READ FULL TEXT

page 7

page 15

page 21

page 33

research
06/16/2020

Efficient nonparametric statistical inference on population feature importance using Shapley values

The true population-level importance of a variable in a prediction task ...
research
02/02/2023

Comparing regression curves – an L^1-point of view

In this paper we compare two regression curves by measuring their differ...
research
04/07/2020

A unified approach for inference on algorithm-agnostic variable importance

In many applications, it is of interest to assess the relative contribut...
research
01/27/2020

Shapley value confidence intervals for variable selection in regression models

Multiple linear regression is a commonly used inferential and predictive...
research
07/05/2021

On the Estimation of Bivariate Return Curves for Extreme Values

In the multivariate setting, defining extremal risk measures is importan...
research
04/10/2016

Distance for Functional Data Clustering Based on Smoothing Parameter Commutation

We propose a novel method to determine the dissimilarity between subject...
research
09/02/2022

An Unified Statistical Procedure to Analyse Irreversible Thermal Curves

The phenomenon of hysteresis is commonly observed in many UV thermal exp...

Please sign up or login with your details

Forgot password? Click here to reset