[Models, Core, Discussion] Analyze impact/importance of exogenous variables

[AzulGarza]

Description

To enhance the interpretability of our models, we could integrate a module or method to examine the importance of exogenous variables. The current challenge is that certain methods (like SHAP) are compatible with traditional sklearn syntax, which differs from the implementation of StatsForecast models. Introducing this new feature necessitates a thorough discussion to determine the best implementation approach.

Use case

No response