Design choices and theoretical issues for relative feature importance, a metric for nonparametric discriminatory power

Abstract

We have developed relative feature importance (RFI), a metric for the classifier-independent ranking of features. Previously, we have shown the metric to rank accurately features for a wide variety of artificial and natural problems, for both two-class and multi-class problems. In this paper, we present the design of the metric, including both theoretical considerations and statistical analysis of the possible components. © Springer-Verlag Berlin Heidelberg 2000.