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Quantitative Finance · Glossary

What is Counterfactual explanation?

Definition 21.4 Machine Learning for Markets · Chapter 21 — Interpretability and Model Governance

A counterfactual explanation of a prediction is the smallest change of the inputs that would have changed the decision, for example the value of one feature at which the forecast changes sign (Wachter, Mittelstadt and Russell, 2017).

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