A Hierarchy of Entropy-Shapley Games for Multivariate Predictive Uncertainty
Modern probabilistic machine learning models increasingly produce multivariate outputs with complex dependence structure, from multi-step time-series forecasts to sample path predictions. Understanding which input features drive the predictive uncertainty is important for risk-aware decisions, model diagnostics, and de...
Niklas Koenen, Claudia Battistin, Jeriek Van den Abeele et al.
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