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vimp (version 1.1.6)

vimp_ci: Confidence intervals for variable importance

Description

Compute confidence intervals for the true variable importance parameter interpreted as the proportion of variability explained by including a group of covariates in the estimation technique.

Usage

vimp_ci(est, se, level = 0.95)

Arguments

est

estimate of variable importance from a call to variableImportance.

se

estimate of the standard error of est, from a call to variableImportanceSE

level

confidence interval type (defaults to 0.95).

Value

The Wald-based confidence interval for the true importance of the given group of left-out covariates.

Details

See the paper by Williamson, Gilbert, Simon, and Carone for more details on the mathematics behind this function and the definition of the parameter of interest.