# Some general thoughts on Partial Dependence Plots with correlated covariates

**R-english – Freakonometrics**, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)

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The partial dependence plot is a nice tool to analyse the impact of some explanatory variables when using nonlinear models, such as a random forest, or some gradient boosting.The idea (in dimension 2), given a model \(m(x_1,x_2)\) for \(\mathbb{E}[Y|X_1=x_1,X_2=x_2]\). The partial dependence plot for variable \(x_1\) is model \(m\) is function \(p_1\) defined as \(x_1\mapsto\mathbb{E}_{\mathbb{P}_{X_2}}[m(x_1,X_2)]\). This can be approximated, using some dataset using \(\widehat{p}_1(x_1)=\frac{1}{n}\sum_{i=1}^n m(x_1,x_{2,i})\)My concern here what the interpretation of that plot when there are some (strongly) correlated covariates. Let us generate some dataset to start with

n=1000 library(mnormt) r=.7 set.seed(1234) X = rmnorm(n,mean = c(0,0),varcov = matrix(c(1,r,r,1),2,2)) Y = 1+X[,1]-2*X[,2]+rnorm(n)/2 df = data.frame(Y=Y,X1=X[,1],X2=X[,2])

As we can see, the true model is here is \(y_i=\beta_0+\beta_1 x_{1,i}+\beta_2x_{2,i}+\varepsilon_i\) where \(\beta_1 =1\) but the two variables are positively correlated, and the second one has a strong negative impact. Note that here

reg = lm(Y~.,data=df) summary(reg) Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 1.01414 0.01601 63.35 <2e-16 *** X1 1.02268 0.02305 44.37 <2e-16 *** X2 -2.03248 0.02342 -86.80 <2e-16 ***

If we estimate a wrongly specified model \(y_i=b_0+b_1 x_{1,i}+\eta_i\), we would get

reg1 = lm(Y~X1,data=df) summary(reg1) Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 1.03522 0.04680 22.121 <2e-16 *** X1 -0.44148 0.04591 -9.616 <2e-16 ***

Thus, on the proper model, \(\widehat{\beta}_1\sim+1.02\) while \(\widehat{b}_1\sim-0.44\) on the mispecified model.

Now, let us look at the parial dependence plot of the good model, using standard R dedicated packages,

library(pdp) pdp::partial(reg, pred.var = "X1", plot = TRUE, plot.engine = "ggplot2")

which is the linear line \(y=1+x\), that corresponds to \(y=\beta_0+\beta_1x\).

library(DALEX) plot(DALEX::single_variable(DALEX::explain(reg, data=df),variable = "X1",type = "pdp"))

which corresponds to the previous graph. Here, it is also possible to creaste our own function to compute that partial dependence plot,

pdp1 = function(x1){ nd = data.frame(X1=x1,X2=df$X2) mean(predict(reg,newdata=nd)) }

that will be the straight line below (the dotted line is the theoretical one \(y=1+x\),

vx=seq(-3.5,3.5,length=101) vpdp1 = Vectorize(pdp1)(vx) plot(vx,vpdp1,type="l") abline(a=1,b=1,lty=2)

which is very different from the univariate regression on \(x_1\)

abline(reg1,col="red")

Actually, the later is very consistent with a local regression, only on \(x_1\)

library(locfit) lines(locfit(Y~X1,data=df),col="blue")

Now, to get back to the definition of the partial dependence plot, \(x_1\mapsto\mathbb{E}_{\mathbb{P}_{X_2}}[m(x_1,X_2)]\), in the context of correlated variable, I was wondering if it would not make more sense to consider some local version actually, something like \(x_1\mapsto\mathbb{E}_{\mathbb{P}_{X_2|X_1}}[m(x_1,X_2)]\). My intuition was that, somehow, it did not make any sense to consider any \(X_2\) while \(X_1\) was fixed (and equal to \(x_1\)). But it would make more sense actually to look at more valid \(X_2\)‘s given the value of \(X_1\). And a natural estimate could be some \(k\) neareast-neighbors, i.e. \(\tilde{p}_1(x_1)=\frac{1}{k}\sum_{i\in\mathcal{V}_k(x)}^n m(x_1,x_{2,i})\) where \(\mathcal{V}_k(x)\) is the set of indices of the \(k\) \(x_i\)‘s that are the closest to \(x\), i.e.

lpdp1 = function(x1){ nd = data.frame(X1=x1,X2=df$X2) idx = rank(abs(df$X1-x1)) mean(predict(reg,newdata=nd[idx<50,])) } vlpdp1 = Vectorize(lpdp1)(vx) lines(vx,vlpdp1,col="darkgreen",lwd=2)

Surprisingly (?), this local partial dependence plot gives a curve that corresponds to the simple regression…

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**R-english – Freakonometrics**.

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