Abstract:
We discuss promising recent contributions on quantifying feature relevance using Shapley values, where we observed some confusion on which probability distribution is the right one for dropped features. We argue that the confusion is based on not carefully distinguishing between observational and interventional conditional probabilities and try a clarification based on Pearl’s seminal work on causality. We conclude that unconditional rather than conditional expectations provide the right notion of dropping features. This contradicts the view of the authors of the software package SHAP. In that work, unconditional expectations (which we argue to be conceptually right) are only used as approximation for the conditional ones, which encouraged others to ‘improve’ SHAP in a way that we believe to be flawed.
