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vimp (version 2.1.0)

Perform Inference on Algorithm-Agnostic Variable Importance

Description

Calculate point estimates of and valid confidence intervals for nonparametric, algorithm-agnostic variable importance measures in high and low dimensions, using flexible estimators of the underlying regression functions. For more information about the methods, please see Williamson et al. (Biometrics, 2020), Williamson et al. (arXiv, 2020+) , and Williamson and Feng (ICML, 2020) .

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Install

install.packages('vimp')

Monthly Downloads

376

Version

2.1.0

License

MIT + file LICENSE

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Repository

https://github.com/bdwilliamson/vimp

Maintainer

Brian D. Williamson

Last Published

June 18th, 2020

Functions in vimp (2.1.0)

Average multiple independent importance estimates

Estimate area under the receiver operating characteristic curve (AUC)

cv_predictiveness_update

Estimate the influence function for an estimator of predictiveness

cv_vimp_point_est

Estimate variable importance using cross-validation

measure_accuracy

Estimate the classification accuracy

measure_cross_entropy

Estimate the cross-entropy

cv_predictiveness_point_est

Estimate a nonparametric predictiveness functional using cross-validation

Estimate the influence function for variable importance parameters

Nonparametric Variable Importance Estimates and Inference using Cross-fitting

Format a vim object

predictiveness_se

Estimate standard errors for measures of predictiveness

Create necessary objects for SPVIMs

Print a vim object

measure_r_squared

Estimate R-squared Compute nonparametric estimate of R-squared.

Influence function estimates for SPVIMs

Shapley Population Variable Importance Measure (SPVIM) Estimates and Inference

Merge multiple vim objects into one

Confidence intervals for variable importance

predictiveness_ci

Confidence intervals for measures of predictiveness

Nonparametric Variable Importance Estimates: Deviance

predictiveness_point_est

Estimate a nonparametric predictiveness functional

Nonparametric Variable Importance Estimates: Classification accuracy

vimp: Perform Inference on Algorithm-Agnostic Variable Importance

vimp_hypothesis_test

Perform a hypothesis test against the null hypothesis of \(\delta\) importance

vimp_regression

Nonparametric Variable Importance Estimates

Nonparametric Variable Importance Estimates: $R^2$

Estimate variable importance

Estimate mean squared error

Nonparametric Variable Importance Estimates: AUC

measure_deviance

Estimate the deviance

Nonparametric Variable Importance Estimates: ANOVA

predictiveness_update

Estimate the influence function for an estimator of predictiveness

Estimate the influence function for variable importance parameters

Nonparametric Variable Importance Estimates and Inference

Standard error estimate for SPVIM values

Estimate standard errors