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Conditional Predictive Impact

David S. Watson, Marvin N. Wright

Introduction

The conditional predictive impact (CPI) is a measure of conditional independence. It can be calculated using any supervised learning algorithm, loss function, and knockoff sampler. We provide statistical inference procedures for the CPI without parametric assumptions or sparsity constraints. The method works with continuous and categorical data.

Installation

The package is not on CRAN yet. To install the development version from GitHub using devtools, run

devtools::install_github("bips-hb/cpi")

Examples

Calculate CPI for random forest on iris data with 5-fold cross validation:

library(mlr3)
library(mlr3learners)
library(cpi)

cpi(task = tsk("iris"), 
    learner = lrn("classif.ranger", predict_type = "prob"),
    resampling = rsmp("cv", folds = 5), 
    measure = "classif.logloss", test = "t")

References

• Watson D. S. & Wright, M. N. (2021). Testing conditional independence in supervised learning algorithms. Machine Learning. DOI: 10.1007/s10994-021-06030-6.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.