# A Generalized Variable Importance Metric and Estimator for Black Box Machine Learning Models

arXiv: https://arxiv.org/abs/2212.09931 · HTML: https://mlsanity.com/paper/2212.09931/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 5 of its 35 references that are in the map.
- First posted on arXiv 20 Dec 2022.

## Builds on (most cited first, 5 of 5)

- [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)
- ["Why Should I Trust You?": Explaining the Predictions of Any Classifier](https://mlsanity.com/paper/1602.04938/) (2016)
- [Correlation and variable importance in random forests](https://mlsanity.com/paper/1310.5726/) (2013)
- [Deep learning for comprehensive forecasting of Alzheimer's Disease progression](https://mlsanity.com/paper/1807.03876/) (2018)

## Abstract (arXiv)

In this paper we define a population parameter, ``Generalized Variable Importance Metric (GVIM)'', to measure importance of predictors for black box machine learning methods, where the importance is not represented by model-based parameter. GVIM is defined for each input variable, using the true conditional expectation function, and it measures the variable's importance in affecting a continuous or a binary response. We extend previously published results to show that the defined GVIM can be represented as a function of the Conditional Average Treatment Effect (CATE) for any kind of a predictor, which gives it a causal interpretation and further justification as an alternative to classical measures of significance that are only available in simple parametric models. Extensive set of simulations using realistically complex relationships between covariates and outcomes and number of regression techniques of varying degree of complexity show the performance of our proposed estimator of the GVIM.