The Rashomon Importance Distribution: Getting RID of Unstable, Single Model-based Variable Importance

arXiv:2309.13775v4 Announce Type: replace
Abstract: Quantifying variable importance is essential for answering high-stakes questions in fields like genetics, public policy, and medicine. Current methods generally calculate variable importance for a given model trained on a given dataset. However, for a given dataset, there may be many models that explain the target outcome equally well; without accounting for all possible explanations, different researchers may arrive at many conflicting yet equally valid conclusions given the same data. Additionally, even when accounting for …

arxiv cs.lg distribution importance q-bio.gn stat.ml type