LOCO-AdaMP: Built-in LOCO Inference for Adaptive Minipatch Ensembles with Enhanced Prediction
LOCO-AdaMP:兼顾预测与内置变量重要性推断的自适应小块集成
As black-box machine learning models become increasingly common, extracting interpretations with uncertainty quantification has become a critical challenge. One popular type of interpretation is leave-one-covariate-out (LOCO) feature importance, while prior LOCO inference methods often require data-splitting or model-refitting. A recent ensemble framework, LOCO-MP, addresses these challenges using minipatches that subsample both observations and features, but massive feature…