Permutation Feature Importance

Where does PFI fit?

  • Information gain
  • Correlation with target
  • Pairwise correlation
  • Variance threshold
  • L1 regularization (e.g., LASSO)
  • Decision trees
  • Recursive Feature Elimination (RFE)
  • Sequential Feature Selection (SFS)

PFI is shown here in the wrapper-method context of Raschka’s lecture.

Reading the error

A probability can be more or less wrong.

First read the observed outcome: 0 = survived; 1 = died. Then measure how far the predicted probability is from that outcome. Square that distance, and average across records.

Brier equals the average of squared differences between predicted probability and observed outcome

The row diagrams are schematic and contain no patient probabilities. The numerical errors shown are measured on the full temporal test. Brier measures probability error; it is not a pure calibration statistic. Displayed values are rounded; calculations retain full precision.