Are SHAP Values Biased Towards High-Entropy Features?
Abstract: In this paper, we examine the bias towards high-entropy features exhibited by SHAP values on tree-based structures such as classification and regression trees, random forests or gradient boosted trees. Previous work has shown that many feature importance measures for tree-based models assign higher values to high-entropy features, i.e. with high cardinality or balanced categories, and that this bias also applies to SHAP values. However, it is unclear if this bias is a major problem in practice or merely a statistical artifact with little impact on real data analyses. In this paper, we show that the severity of the bias strongly depends on the signal to noise ratio (SNR) in the dataset and on adequate hyperparameter tuning. In high-SNR settings, the bias is still present but is unlikely to affect feature rankings and thus can be safely ignored in many real data applications. On the other hand, in low-SNR settings, a feature without ground-truth effect but with high entropy could be ranked higher than a feature with ground-truth effect but low entropy. Here, we show that careful hyperparameter tuning can remove the bias.
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