Feature importance inference is critical for the interpretability and reliability of machine learning models. There has been increasing interest in developing model-agnostic approaches to interpret any predictive model, often in the form of feature occlusion or leave-one-covariate-out (LOCO) inference. Existing methods typically make limiting distributional assumptions, modeling assumptions, and require data splitting. In this work, we develop a novel, mostly model-agnostic, and distribution-free inference framework for feature importance in regression or classification tasks that does not require data splitting. Our approach leverages a form of random observation and feature subsampling called minipatch ensembles; it utilizes the trained ensembles for inference and requires no model-refitting or held-out test data after training. We show that our approach enjoys both computational and statistical efficiency as well as circumvents interpretational challenges with data splitting. Further, despite using the same data for training and inference, we show the asymptotic validity of our confidence intervals under mild assumptions. Additionally, we propose theory-supported solutions to critical practical issues including vanishing variance for null features and inference after data-driven tuning for hyperparameters. We demonstrate the advantages of our approach over existing methods on a series of synthetic and real data examples.

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