bank-of-england/Shapley_regressions
Statistical inference on machine learning or general non-parametric models
This project helps economists, financial analysts, and other researchers understand the drivers and predictions from complex machine learning models by presenting their outputs in a familiar regression table format. It takes in macroeconomic time series data and machine learning model predictions, producing an interpretable regression table that shows the statistical significance and impact of different input variables on the model's output. This allows you to explain 'black-box' model decisions using well-understood statistical inference techniques.
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Use this if you need to perform statistical inference and interpret the variable relationships within your machine learning models, especially when working with macroeconomic or time-series data.
Not ideal if you are looking for a plug-and-play software package, as this repository is primarily for reproducing research results and requires adaptation for new applications.
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Python
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Last pushed
May 10, 2024
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