Individual variable priority: a model-independent local gradient method for variable importance

Traditional variable importance measures quantify overall feature contributions but often overlook individual-level heterogeneity. Several new procedures attempt to address this limitation but remain model dependent and may introduce biases. We propose individual variable priority (iVarPro), an extension of the Variable Priority (VarPro) framework, which uses rule-based, data-driven partitioning to estimate the gradient of the conditional mean function. By focusing on gradients, iVarPro captures how small perturbations in a variable influence an individual's outcome, providing a more precise and interpretable measure of importance. To demonstrate its advantages, we conducted simulations and analyzed a real-world survival dataset. Our results show that iVarPro more accurately captures the true functional relationship by flexibly leveraging local samples.