Evidence
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Model-agnostic variable importance measures offer one route to this end, as they can be applied to any trained supervised learning algorithm for which predictions on new data can be obtained, including ensembles that combine multiple base learners.
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A Simple and Effective Model-Based Variable Importance Measure ↗
Secondly, our method is suitable for use with any trained supervised learning algorithm, provided predictions on new data can be obtained. For example, it is often beneficial (from an accuracy standpoint) to train and tune multiple state-of-the art predictive models (e.g., multiple RFs, GBMs, and de…
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Secondly, our method is suitable for use with any trained supervised learning algorithm, provided predictions on new data can be obtained. For example, it is often beneficial (from an accuracy standpoint) to train and tune multiple state-of-the art predictive models (e.g., multiple RFs, GBMs, and deep learning NNs (DNNs)) and then combine them into an ensemble called a super learner through a process called model stacking . Even if the base learners can provide there own measures of variable importance, there is no logical way to combine them to form an overall score for the super learner. However, since new predictions can be obtained from the super learner, our proposed variable importance measure is still applicable (examples are given in Sections 5 – 6 ).