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vimp (version 2.0.1)

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) and Williamson et al. (arXiv, 2020+) .

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Install

install.packages('vimp')

Monthly Downloads

273

Version

2.0.1

License

MIT + file LICENSE

Issues

0

Pull Requests

0

Stars

24

Forks

8

Maintainer

Brian D. Williamson

Last Published

April 11th, 2020

Functions in vimp (2.0.1)

cv_predictiveness_point_est

Estimate a nonparametric predictiveness functional using cross-validation
measure_deviance

Estimate the deviance
sample_subsets

Create necessary objects for SPVIMs
measure_cross_entropy

Estimate the cross-entropy
run_sl

Run a Super Learner for the provided subset of features
vimp

vimp: Nonparametric variable importance assessment
print.vim

Print a vim object
measure_mse

Estimate mean squared error
predictiveness_update

Estimate the influence function for an estimator of predictiveness
vimp_accuracy

Nonparametric Variable Importance Estimates: Classification accuracy
measure_r_squared

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

Merge multiple vim objects into one
sp_vim

Shapley Population Variable Importance Measure (SPVIM) estimates
predictiveness_ci

Confidence intervals for measures of predictiveness
vimp_ci

Confidence intervals for variable importance
predictiveness_point_est

Estimate a nonparametric predictiveness functional
spvim_ics

Influence function estimates for SPVIMs
predictiveness_se

Estimate standard errors for measures of predictiveness
spvim_se

Standard error estimate for SPVIM values
vim

Nonparametric Variable Importance Estimates
vimp_deviance

Nonparametric Variable Importance Estimates: Deviance
vimp_regression

Nonparametric Variable Importance Estimates
vimp_rsquared

Nonparametric Variable Importance Estimates: $R^2$
vimp_anova

Nonparametric Variable Importance Estimates: ANOVA
vimp_hypothesis_test

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

Estimate variable importance
vimp_se

Estimate standard errors
vimp_update

Estimate the influence function for variable importance parameters
vimp_auc

Nonparametric Variable Importance Estimates: AUC
average_vim

Average multiple independent importance estimates
cv_vim

Nonparametric Variable Importance Estimates using Cross-validation
measure_auc

Estimate area under the receiver operating characteristic curve (AUC)
measure_accuracy

Estimate the classification accuracy
cv_vimp_point_est

Estimate variable importance using cross-validation
cv_vim_nodonsker

Nonparametric Variable Importance Estimates using Cross-validation, without Donsker class relaxation
cv_vimp_update

Estimate the influence function for variable importance parameters
cv_predictiveness_update

Estimate the influence function for an estimator of predictiveness
format.vim

Format a vim object