(j\)</span>-th feature, and <span class="math notranslate nohighlight">\(x_{j}\)</span> is the <span class="math notranslate nohighlight">\(j\)</span>-th feature. The model is derived in the following steps.</p>
<p><strong>Stage 1: Initial Model Fitting.</strong> In the first step, we fit an XGB model with a maximum depth of 1. The resulting model can be interpreted as a GAM with piecewise constant main effects, with the following procedures.</p>
<ul class="simple">
<li><p>Collecting the unique splits for e