# Inferring feature importance with uncertainties in high-dimensional data

arXiv: https://arxiv.org/abs/2109.00855 · HTML: https://mlsanity.com/paper/2109.00855/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- Builds on 8 of its 33 references that are in the map.
- First posted on arXiv 2 Sep 2021.

## Builds on (most cited first, 8 of 8)

- [A Unified Approach to Interpreting Model Predictions](https://mlsanity.com/paper/1705.07874/) (2017)
- [XGBoost: A Scalable Tree Boosting System](https://mlsanity.com/paper/1603.02754/) (2016)
- [Consistent Individualized Feature Attribution for Tree Ensembles](https://mlsanity.com/paper/1802.03888/) (2018)
- [Explaining by Removing: A Unified Framework for Model Explanation](https://mlsanity.com/paper/2011.14878/) (2020)
- [Explaining individual predictions when features are dependent: More accurate approximations to Shapley values](https://mlsanity.com/paper/1903.10464/) (2019)
- [Shapley values for feature selection: The good, the bad, and the axioms](https://mlsanity.com/paper/2102.10936/) (2021)
- [Efficient computation and analysis of distributional Shapley values](https://mlsanity.com/paper/2007.01357/) (2020)
- [Explaining predictive models with mixed features using Shapley values and conditional inference trees](https://mlsanity.com/paper/2007.01027/) (2020)

## Built on by (most cited first, 2 of 2)

- [Shapley Curves: A Smoothing Perspective](https://mlsanity.com/paper/2211.13289/) (2022)
- [The Berkelmans-Pries Feature Importance Method: A Generic Measure of Informativeness of Features](https://mlsanity.com/paper/2301.04740/) (2023)

## Abstract (arXiv)

Estimating feature importance is a significant aspect of explaining data-based models. Besides explaining the model itself, an equally relevant question is which features are important in the underlying data generating process. We present a Shapley value based framework for inferring the importance of individual features, including uncertainty in the estimator. We build upon the recently published feature importance measure of SAGE (Shapley additive global importance) and introduce sub-SAGE which can be estimated without resampling for tree-based models. We argue that the uncertainties can be estimated from bootstrapping and demonstrate the approach for tree ensemble methods. The framework is exemplified on synthetic data as well as high-dimensional genomics data.