Please note that the error

is the most important

factor in MSE.

Please look at my paper

An Adaptive Filter to Pick up a Wiener Filter from the Error using MSE with and Without Noise

Hasintha Nawod Kalpana If I understand your question correctly, you can use Gradient boosting feature importance in Python. Let me know if it helped.

Hi;

You may find your answer by having a look at Table 2 of this paper: 10.1007/s10346-009-0183-2

Also, you need to read the relevant explanations in the body to figure it out.

Hope it helps.