{"title":"Clustered Feature Importance (Presentation Slides)","authors":"Marcos M. López de Prado","doi":"10.2139/ssrn.3517595","DOIUrl":null,"url":null,"abstract":"A substitution effect takes place when two or more explanatory variables share a substantial amount of information (predictive power). \n \nUnder the presence of substitution effects, feature importance methods may not be able to determine robustly which variables are significant. \n \nThis presentation discusses the Clustered Feature Importance (CFI) method, which is robust to linear as well as non-linear substitution effects.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computation Theory eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3517595","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
A substitution effect takes place when two or more explanatory variables share a substantial amount of information (predictive power).
Under the presence of substitution effects, feature importance methods may not be able to determine robustly which variables are significant.
This presentation discusses the Clustered Feature Importance (CFI) method, which is robust to linear as well as non-linear substitution effects.