Summary
After reading this chapter, you should understand how to assess a time series model’s predictive performance, know how to perform local interpretations for them with integrated gradients, and know how to produce both local and global attributions with SHAP. You should also know how to leverage sensitivity analysis factor prioritization and factor fixing for any model.
In the next chapter, we will learn how to reduce the complexity of a model and make it more interpretable with feature selection and engineering.