Comparing RF feature importance to PPS about ppscore HOT 5 OPEN

@FlorianWetschoreck I just demonstrated for selecting features for a model with xgboost vs ppscore.
you can check it here.

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Hi Matt,

I am also looking forward to some formal comparisons between feature importance and the PPS. If you created some for your personal studies, it would be much appreciated if you share them.

Some general thoughts:

• you are right that PPS only corresponds to a single feature's predictive power on the target and thus, it should be accompanied by looking at the feature importances.
• Feature Importance is sometimes misleading depending on the calculation method. Therefore, I would suggest to always use Permutation Feature Importance https://scikit-learn.org/stable/modules/permutation_importance.html
• It might be interesting to subtract the PPS from the Permutation Feature Importance in order to estimate the amount of predictive power that resulted from interactions with other features

Best,
Florian

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Great, happy to hear that!

You might also want to add the Maximal Information Coefficient into the mix:
https://medium.com/@rhondenewint93/on-maximal-information-coefficient-a-modern-approach-for-finding-associations-in-large-data-sets-ba8c36ebb96b

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Any updates from your side or did your priorities change?

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