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Shapley Feature Selection
2022
FinTech
Feature selection is a popular topic. The main approaches to deal with it fall into the three main categories of filters, wrappers and embedded methods. Advancement in algorithms, though proving fruitful, may be not enough. We propose to integrate an explainable AI approach, based on Shapley values, to provide more accurate information for feature selection. We test our proposal in a real setting, which concerns the prediction of the probability of default of Small and Medium Enterprises. Our
doi:10.3390/fintech1010006
fatcat:kie7gvgmajcctmtb7vnmq2lhwy