How to combine "gain" feature importance for multiple features with XGBoost?
For example, I would like to compare the importance of all features from both hands (i.e., X and Y coordinates of ten fingers, so 20 features) to the importance of all features from the head (i.e., X and Y coordinates of nose, mouth, and eyes, so 8 features). How do I combine the gain feature importance metric such that I can directly compare the importance of the hand vs head?
Below are the individual (top) and cleaner, more informative combined (bottom) feature importance plots. Here, the combined “gain” is the sum of individual gains. Is this the correct way to approach my question?
