In MATLAB, there is no direct method to find out feature importance for models like SVM, KNN, and discriminant analysis.
However, for determining feature importance for these models you can use Recursive Feature Elimination (RFE) technique that recursively removes the least important features based on the model's performance and can be adapted to any of the above-mentioned models.
You can use the sequentialfs function in MATLAB to implement it. The function uses a custom criterion function to select the features and these can be the models SVM, KNN etc. Refer to the following documentation to read about the process of using a custom criterion function:
The importance of the feature can be implied from the order in they are removed.
