A Novel Algorithm to Estimate the Significance Level of a Feature Interaction Using the Extreme Gradient Boosting Machine

Recent studies have revealed the importance of the interaction effect in cardiac research. An analysis would lead to an erroneous conclusion when the approach failed to tackle a significant interaction. Regression models deal with interaction by adding the product of the two interactive variables. Thus, statistical methods could evaluate the significance and contribution of the interaction term. However, machine learning strategies could not provide the p-value of specific feature interaction. Therefore, we propose a novel machine learning algorithm to assess the p-value of a feature interaction, named the extreme gradient boosting machine for feature interaction (XGB-FI). The first step incorporates the concept of statistical methodology by stratifying the original data into four subgroups according to the two interactive features. The second step builds four XGB machines with cross-validation techniques to avoid overfitting. The third step calculates a newly defined feature interaction ratio (FIR) for all possible combinations of predictors. Finally, we calculate the empirical p-value according to the FIR distribution. Computer simulation studies compared the XGB-FI with the multiple regression model with an interaction term. The results showed that the type I error of XGB-FI is valid under the nominal level of 0.05 when there is no interaction effect. The power of XGB-FI is consistently higher than the multiple regression model in all scenarios we examined. In conclusion, the new machine learning algorithm outperforms the conventional statistical model when searching for an interaction.