A variable ranking method for machine learning models with correlated features: In-silico validation and application for diabetes prediction

When building a predictive model for predicting a clinical outcome using machine learning techniques, the model developers are often interested in ranking the features according to their predictive ability. A commonly used approach to obtain a robust variable ranking is to apply recursive feature elimination (RFE) on multiple resamplings of the training set and then to aggregate the ranking results using the Borda count method. However, the presence of highly correlated features in the training set can deteriorate the ranking performance. In this work, we propose a variant of the method based on RFE and Borda count that takes into account the correlation between variables during the ranking procedure in order to improve the ranking performance in the presence of highly correlated features. The proposed algorithm is tested on simulated datasets in which the true variable importance is known and compared to the standard RFE-Borda count method. According to the root mean square error between the estimated rank and the true (i.e., simulated) feature importance, the proposed algorithm overcomes the standard RFE-Borda count method. Finally, the proposed algorithm is applied to a case study related to the development of a predictive model of type 2 diabetes onset