Estimate variable importance standard errors

Source: R/vimp_se.R

Compute standard error estimates for estimates of variable importance.

vimp_se(
  eif_full,
  eif_reduced,
  cross_fit = TRUE,
  sample_split = TRUE,
  na.rm = FALSE
)

Arguments

eif_full

the estimated efficient influence function (EIF) based on the full set of covariates.

eif_reduced

the estimated EIF based on the reduced set of covariates.

cross_fit

logical; was cross-fitting used to compute the EIFs? (defaults to TRUE)

sample_split

logical; was sample-splitting used? (defaults to TRUE)

na.rm

logical; should NA's be removed in computation? (defaults to FALSE).

Value

The standard error for the estimated variable importance for the given group of left-out covariates.

Details

See the paper by Williamson, Gilbert, Simon, and Carone for more details on the mathematics behind this function and the definition of the parameter of interest.