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.
vimp_ci(est, se, level = 0.95)
estimate of variable importance from a call to variableImportance
.
estimate of the standard error of est
, from a call to variableImportanceSE
confidence interval type (defaults to 0.95).
The Wald-based confidence interval for the true importance of the given group of left-out covariates.
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.