Michael Mayer has a new R package for us:
This post is mainly about the third approach. Its beauty is that we get information about all interactions. The downside: it is as good/bad as partial dependence functions. And: the statistics are computationally very expensive to compute (of order n^2).
Different R packages offer some of these H-statistics, including {iml}, {gbm}, {flashlight}, and {vivid}. They all have their limitations. This is why I wrote the new R package {hstats}:
Click through for an overview of the package and an example of how it works.