I have built a stacked model using mlxtend StakingCVClassifier. I want to know the feature importance scores now. Is there any way I can calculate feature importance scores for the stacked model? If not can I combine the feature importance of individual models somehow? I have tried SHAP values but StakingCVClassifier doesn't support that. Stacked model has RF, LightGBM , and MLP. Please let me know what are the possible solutions.
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