Valid and efficient inference for nonparametric variable importance in two-phase studies.

We consider a common nonparametric regression setting, where the data consist of a response variable Y, some easily obtainable covariates $\mathbf {X}$, and a set of costly covariates $\mathbf {Z}$. Before establishing predictive models for Y, a natural question arises: Is it worthwhile to include $\mathbf {Z}$ as predictors, given the additional cost of collecting data on $\mathbf {Z}$ for both training the models and predicting Y for future individuals? Therefore, we aim to conduct preliminary investigations to infer importance of $\mathbf {Z}$ in predicting Y in the presence of $\mathbf {X}$. To achieve this goal, we propose a nonparametric variable importance measure for $\mathbf {Z}$. It is defined as a parameter that aggregates maximum potential contributions of $\mathbf {Z}$ in single or multiple predictive models, with contributions quantified by general loss functions. Considering two-phase data that provide a large number of observations for $(Y,\mathbf {X})$ with the expensive $\mathbf {Z}$ measured only in a small subsample, we develop a novel approach to infer the proposed importance measure, accommodating missingness of $\mathbf {Z}$ in the sample by substituting functions of $(Y,\mathbf {X})$ for each individual's contribution to the predictive loss of models involving $\mathbf {Z}$. Our approach attains unified and efficient inference regardless of whether $\mathbf {Z}$ makes zero or positive contribution to predicting Y, a desirable yet surprising property owing to data incompleteness. As intermediate steps of our theoretical development, we establish novel results in two relevant research areas, semi-supervised inference and two-phase nonparametric estimation. Numerical results from both simulated and real data demonstrate superior performance of our approach.