Is there any way to get variable importance with Keras?

Question

I am looking for a proper or best way to get variable importance in a Neural Network created with Keras. The way I currently do it is I just take the weights (not the biases

Answer 1

This is a relatively old post with relatively old answers, so I would like to offer another suggestion of using SHAP to determine feature importance for your Keras models. SHAP also allows you to process Keras models using layers requiring 3d input like LSTM and GRU while eli5 cannot.

To avoid double-posting, I would like to offer my answer to a similar question on Stackoverflow on using SHAP.