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Could changing the hyperparameters of a model change relative feature importance?

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Yes. The most obvious example is when using a Lasso regression : for an increasing $\alpha$ parameter you will have more and more coefficients set to zero. This resulting in a smaller set of features and thus a bigger share of feature importance for remaining features.

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  • $\begingroup$ Right but could relative feature importance change? Like say "longitude" was ranked better than "latitude" for a given set of parameters. Could this be reversed (so "latitude" ranked better) for some other set of parameters? $\endgroup$ Apr 6 '20 at 23:22
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    $\begingroup$ Yes. Features having similar importance switch easily when changing parameters. (even when taking a different sample of data) $\endgroup$
    – Rusoiba
    Apr 11 '20 at 20:11

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