  Feature importance techniques have enjoyed widespread attention in the
explainable AI literature as a means of determining how trained machine
learning models make their predictions. We consider Shapley value based
approaches to feature importance, applied in the context of time series data.
We present closed form solutions for the SHAP values of a number of time series
models, including VARMAX. We also show how KernelSHAP can be applied to time
series tasks, and how the feature importances that come from this technique can
be combined to perform "event detection". Finally, we explore the use of Time
Consistent Shapley values for feature importance.

Machine Learning