Feature Importance — What the Model Pays Attention To
The most basic and most used interpretability question is also the most useful: which features actually matter to this model? Feature importance answers it, giving a ranked list of the inputs that drive a model's predictions — the first thing to compute when you want to understand, debug, or trust any model. This post covers the main ways to measure it, the traps that make naive importance misleading, and why permutation importance is the reliable default.
Which features actually matter? Feature importance is the workhorse global method — great for sanity-checking and leakage detection — but built-in importances mislead (impurity bias), so prefer permutation importance. And the traps: correlated features hide importance, and importance is not causation.