Performance is not enough: the story told by a Rashomon quartet

Predictive modelling is often reduced to finding the best model that optimizes a selected performance measure. But what if the second-best model describes the data in a completely different way? What about the third-best? Is it possible that the equally effective models describe different relationships in the data? Inspired by Anscombe's quartet, this paper introduces a Rashomon quartet, a four models built on synthetic dataset which have practically identical predictive performance. However, their visualization reveals distinct explanations of the relation between input variables and the target variable. The illustrative example aims to encourage the use of visualization to compare predictive models beyond their performance.