I am trying to use Temporal Fusion Transformer (TFT) (https://nixtla.github.io/neuralforecast/models.tft.html#tft). Can I extract variable importances from NeuralForecast's implementation of TFT? I am referring to Pytorch's implementation of TFT (https://pytorch-forecasting.readthedocs.io/en/stable/tutorials/stallion.html). Thanks.

Hi @Kevin. Our implementation also allows for extracting variable importance. We dont have an equivalent

interpret_output

method yet. It is currently in our backlog and we will implement it soon!