Statistical Inference and Learning for Shapley Additive Explanations (SHAP)

• URL: http://arxiv.org/abs/2602.10532v1
• Date: Wed, 11 Feb 2026 05:01:47 GMT
• Title: Statistical Inference and Learning for Shapley Additive Explanations (SHAP)
• Authors: Justin Whitehouse, Ayush Sawarni, Vasilis Syrgkanis,
• Abstract summary: The SHAP (short for Shapley additive explanation) framework has become an essential tool for attributing importance to variables in predictive tasks.<n>Despite their ubiquity, there do not exist approaches for performing statistical inference on these quantities.<n>We show that, by treating the SHAP curve as a nuisance function that must be estimated from data, one can reliably constructally normal estimates of the $p$th powers of SHAP.
• Score: 20.663970002208846
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The SHAP (short for Shapley additive explanation) framework has become an essential tool for attributing importance to variables in predictive tasks. In model-agnostic settings, SHAP uses the concept of Shapley values from cooperative game theory to fairly allocate credit to the features in a vector $X$ based on their contribution to an outcome $Y$. While the explanations offered by SHAP are local by nature, learners often need global measures of feature importance in order to improve model explainability and perform feature selection. The most common approach for converting these local explanations into global ones is to compute either the mean absolute SHAP or mean squared SHAP. However, despite their ubiquity, there do not exist approaches for performing statistical inference on these quantities. In this paper, we take a semi-parametric approach for calibrating confidence in estimates of the $p$th powers of Shapley additive explanations. We show that, by treating the SHAP curve as a nuisance function that must be estimated from data, one can reliably construct asymptotically normal estimates of the $p$th powers of SHAP. When $p \geq 2$, we show a de-biased estimator that combines U-statistics with Neyman orthogonal scores for functionals of nested regressions is asymptotically normal. When $1 \leq p < 2$ (and the hence target parameter is not twice differentiable), we construct de-biased U-statistics for a smoothed alternative. In particular, we show how to carefully tune the temperature parameter of the smoothing function in order to obtain inference for the true, unsmoothed $p$th power. We complement these results by presenting a Neyman orthogonal loss that can be used to learn the SHAP curve via empirical risk minimization and discussing excess risk guarantees for commonly used function classes.

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