Suppose I have a set of M categorical variables, some of them with a different number of categories (for instance, var1 has five categories, var2 has three, etc).
I train an XGBoost model on a numeric target Y after having performed one-hot encoding on the M categorical variables, thus creating a set of dummy inputs.
When looking at the model results, I get a table of importance gain for the categories of each feature, meaning how important they are in the model. A toy result would look like this:
feature | category gain
var1 | cat3 25
var2 | cat1 20
var1 | cat5 12
var5 | cat6 11
var4 | cat1 8
The main question I'm asking is the following:
- In order to get an idea of how important a variable is overall rather than just one of its categories (for instance, how much var1 is important overall rather than just category cat3 of var1), does it make sense to take the average of all the importance gains for each feature as an importance indicator?
Probably the sum of such gains would not be correct as the features may have a different number of categories, but I'm wondering if the average of such gains might serve as an indicator of the importance of a particular feature overall.
I already looked at some questions like this without gaining much insight about this topic.