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arXiv · 2003.02821

What went wrong and when? Instance-wise Feature Importance for Time-series Models

Sana Tonekaboni·Shalmali Joshi·Kieran Campbell·David Duvenaud·Anna Goldenberg
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Abstract

Explanations of time series models are useful for high stakes applications like healthcare but have received little attention in machine learning literature. We propose FIT, a framework that evaluates the importance of observations for a multivariate time-series black-box model by quantifying the shift in the predictive distribution over time. FIT defines the importance of an observation based on its contribution to the distributional shift under a KL-divergence that contrasts the predictive distribution against a counterfactual where the rest of the features are unobserved. We also demonstrate the need to control for time-dependent distribution shifts. We compare with state-of-the-art baselines on simulated and real-world clinical data and demonstrate that our approach is superior in identifying important time points and observations throughout the time series.

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Sana Tonekaboni, Shalmali Joshi, Kieran Campbell, David Duvenaud, Anna Goldenberg. 2020-10-28. What went wrong and when? Instance-wise Feature Importance for Time-series Models. https://arxiv.org/abs/2003.02821

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