Agostino Gnasso

Semiparametric Inference for Conditional Shapley Feature Importance

A one-step estimator with K-fold cross-fitting and a U-statistic correction of the squared loss that removes the Monte Carlo bias of the naive plug-in is proposed, which is $\sqrt{n}$-consistent and asymptotically normal under double-robust rate conditions, and the resulting Wald interval attains nominal coverage.