A Guide to Feature Importance Methods for Scientific Inference
<|reference_start|>A Guide to Feature Importance Methods for Scientific Inference: While machine learning (ML) models are increasingly used due to their high predictive power, their use in understanding the data-generating process (DGP) is limited. Understanding the DGP requires insights into feature-target associations, which many ML models cannot directly provide due to their opaque internal mechanisms. Feature importance (FI) methods provide useful insights into the DGP under certain conditions. Since the results of different FI methods have different interpretations, selecting the correct FI method for a concrete use case is crucial and still requires expert knowledge. This paper serves as a comprehensive guide to help understand the different interpretations of global FI methods. Through an extensive review of FI methods and providing new proofs regarding their interpretation, we facilitate a thorough understanding of these methods and formulate concrete recommendations for scientific inference. We conclude by discussing options for FI uncertainty estimation and point to directions for future research aiming at full statistical inference from black-box ML models.<|reference_end|>
@article{ewald2024a,
    title={A Guide to Feature Importance Methods for Scientific Inference},
    author={Fiona Katharina Ewald, Ludwig Bothmann, Marvin N. Wright, Bernd
  Bischl, Giuseppe Casalicchio, Gunnar K"onig},
    journal={Longo, L., Lapuschkin, S., Seifert, C. (eds) Explainable
  Artificial Intelligence. xAI 2024. Communications in Computer and Information
  Science, vol 2154. Springer, Cham},
    year={2024},
    doi={10.1007/978-3-031-63797-1_22},
    archivePrefix={arXiv},
    eprint={2404.12862},
    primaryClass={stat.ML cs.LG math.ST stat.ME stat.TH}
}