The Holdout Randomization Test for Feature Selection in Black Box Models
Abstract
We propose the holdout randomization test (HRT), an approach to feature selection using black box predictive models. The HRT is a specialized version of the conditional randomization test (CRT; Candes et al., 2018) that uses data splitting for feasible computation. The HRT works with any predictive model and produces a valid -value for each feature. To make the HRT more practical, we propose a set of extensions to maximize power and speed up computation. In simulations, these extensions lead to greater power than a competing knockoffs-based approach, without sacrificing control of the error rate. We apply the HRT to two case studies from the scientific literature where heuristics were originally used to select important features for predictive models. The results illustrate how such heuristics can be misleading relative to principled methods like the HRT. Code is available at https://github.com/tansey/hrt.
Cite
@article{arxiv.1811.00645,
title = {The Holdout Randomization Test for Feature Selection in Black Box Models},
author = {Wesley Tansey and Victor Veitch and Haoran Zhang and Raul Rabadan and David M. Blei},
journal= {arXiv preprint arXiv:1811.00645},
year = {2021}
}
Comments
New algorithms and simulations; accepted for publication at JCGS