Bridging extrinsic and intrinsic variable importance

arXiv:2608.00247 · stat.ME, stat.ML · Submitted 2026-07-31 · Read on arXiv

Yucheng Zhao, Brian D. Williamson

stat.ME, stat.ML

Submitted: 2026-07-31

Comments: 29 pages, 2 figures. Supplementary material included

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Lasso — 9× in this paper · explained in 2 episodes
• Empirical Coverage — 5× in this paper · explained in 2 episodes
• Loss Function — 5× in this paper · explained in 2 episodes
• Feature Importance — 4× in this paper · explained in 2 episodes
• Uncertainty Quantification — 3× in this paper · explained in 9 episodes
• Accuracy — 2× in this paper · explained in 1 episode
• Shapley values — 2× in this paper · explained in 2 episodes
• Asymptotic Normality — 1× in this paper · explained in 2 episodes
• Benchmark — 1× in this paper · explained in 2 episodes
• Computational Biology — 1× in this paper · explained in 2 episodes
• Model-Agnostic — 1× in this paper · explained in 2 episodes

Sources

• LOCO Feature Importance Inference without Data Splitting via Minipatch Ensembles
• Variable importance measures for heterogeneous treatment effects

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