14 research outputs found
Individualized and Global Feature Attributions for Gradient Boosted Trees in the Presence of Regularization
While regularization is widely used in training gradient boosted
trees, popular individualized feature attribution methods for trees such as
Saabas and TreeSHAP overlook the training procedure. We propose Prediction
Decomposition Attribution (PreDecomp), a novel individualized feature
attribution for gradient boosted trees when they are trained with
regularization. Theoretical analysis shows that the inner product between
PreDecomp and labels on in-sample data is essentially the total gain of a tree,
and that it can faithfully recover additive models in the population case when
features are independent. Inspired by the connection between PreDecomp and
total gain, we also propose TreeInner, a family of debiased global feature
attributions defined in terms of the inner product between any individualized
feature attribution and labels on out-sample data for each tree. Numerical
experiments on a simulated dataset and a genomic ChIP dataset show that
TreeInner has state-of-the-art feature selection performance. Code reproducing
experiments is available at https://github.com/nalzok/TreeInner .Comment: 43 pages, 29 figure
From global to local MDI variable importances for random forests and when they are Shapley values
peer reviewedRandom forests have been widely used for their ability to provide so-called importance measures, which give insight at a global (per dataset) level on the relevance of input variables to predict a certain output. On the other hand, methods based on Shapley values have been introduced to refine the analysis of feature relevance in tree-based models to a local (per instance) level. In this context, we first show that the global Mean Decrease of Impurity (MDI) variable importance scores correspond to Shapley values under some conditions. Then, we derive a local MDI importance measure of variable relevance, which has a very natural connection with the global MDI measure and can be related to a new notion of local feature relevance. We further link local MDI importances with Shapley values and discuss them in the light of related measures from the literature. The measures are illustrated through experiments on several classification and regression problems
Enhancing cryptocurrency price forecasting accuracy: a feature selection and weighting approach with bi-directional LSTM and trend-preserving model bias correction
A cryptocurrency is a digitized, encrypted, and decentralized virtual currency, which is impossible to counterfeit or double-spend. It is one of the very popular investment instruments and traded in blockchain based crypto exchanges on ever growing volume. It is quite volatile due to imbalance of supply and demand, government regulations, investor sentiment and above all media hype. Cryptocurrency price forecasting is an active area of research and several approaches have been proposed recently. This study proposed a price forecasting model based on three vital characteristics (i) a feature selection and weighting approach based on Mean Decrease Impurity(MDI) features. (ii) Bi-directional LSTM and (iii) with a trend preserving model bias correction (CUSUM control charts for monitoring the model performance over time) to forecast Bitcoin and Ethereum values for long and short term spans. The data for both currencies were analyzed in three different intervals: (i) April 01, 2013 to April 01, 2016 (ii) April 01, 2013 to April 01, 2017 and (iii) April 01, 2013 to December 31, 2019. Extensive series of experiments were performed and evaluated on Root Mean Square Errors (RMSE). For bitcoin forecasting, the model achieved RMSE values 3.499 for interval 1, 5.070 for interval 2 and 6.642 for interval 3. Similarly, for Ethereum RSME of 0.094, 0.332, 3.027 are obtained for the three intervals respectively, On a new test-set collected from January 01, 2020 to January 01, 2022 for the two cryptocurrencies we obtained an average RSME of 9.17, with model bias correction, Comparing with the prevalent forecasting models we report a new state of the art in cryptocurrency forecasting
ESG ratings: the road ahead
In this study, we show that using a common set of variables would partially resolve inconsistencies and the lack of comparability across rating providers that often confuse investors. Furthermore, we dissociate the impact of the rating agencies’ different focus on “E”, “S” or “G” from that of using different data. While the former, if properly disclosed, can be useful as it allows investors to choose what rating will be more in line with their preferences, the latter necessarily requires harmonization of the data collected