I have a model trained using LightGBM (LGBMRegressor), in Python, with scikit-learn.

On a weekly basis the model in re-trained, and an updated set of chosen features and associated feature_importances_ are plotted. I want to compare these magnitudes along different weeks, to detect (abrupt) changes in the set of chosen variables and the importance of each of them. But I fear the raw importances are not directly comparable (I am using default split option, that gives importance to a feature based on the number of times it appears in the candidate models).

My question is: assuming these different raw importances along weeks are not directly comparable, is a normalization enough to allow the comparison? If yes, what is the best way to do such normalization? (maybe just a division by the highest importance of the week).

Thank you very much


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