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We compute variable importance by calculating Pearson's correlation between scores and target encoded variables:
cobra/cobra/model_building/models.py
Lines 144 to 150 in 0133435
It'd be nice to choose different correlation (like Kendall)? Pearson assumes normality, but doesn't always hold for the variables considered.
https://datascience.stackexchange.com/questions/64260/pearson-vs-spearman-vs-kendall