Debiasing SHAP scores in random forests

Black box machine learning models are currently being used for high-stakes decision making in various parts of society such as healthcare and criminal justice. While tree-based ensemble methods such as random forests typically outperform deep learning models on tabular data sets, their built-in variable importance algorithms are known to be strongly biased toward high-entropy features. It was recently shown that the increasingly popular SHAP (SHapley Additive exPlanations) values suffer from a similar bias. We propose debiased or "shrunk" SHAP scores based on sample splitting which additionally enable the detection of overfitting issues at the feature level.