Should SHAP value analysis be done on the train or test set?
What does it mean if the feature importance based on mean |SHAP value| is different between the train and test set of my lightgbm model?
I intend to use SHAP analysis to identify how each feature contributes to each individual prediction and possibly identify individual predictions that are anomalous. For instance, if the individual prediction's top (+/-) contributing features are vastly different from that of the model's feature importance, then this prediction is less trustworthy. Does this approach make sense?