  Understanding the effect of a feature vector $x \in \mathbb{R}^d$ on the
response value (label) $y \in \mathbb{R}$ is the cornerstone of many
statistical learning problems. Ideally, it is desired to understand how a set
of collected features combine together and influence the response value, but
this problem is notoriously difficult, due to the high-dimensionality of data
and limited number of labeled data points, among many others. In this work, we
take a new perspective on this problem, and we study the question of assessing
the difference of influence that the two given features have on the response
value. We first propose a notion of closeness for the influence of features,
and show that our definition recovers the familiar notion of the magnitude of
coefficients in the parametric model. We then propose a novel method to test
for the closeness of influence in general model-free supervised learning
problems. Our proposed test can be used with finite number of samples with
control on type I error rate, no matter the ground truth conditional law
$\mathcal{L}(Y |X)$. We analyze the power of our test for two general learning
problems i) linear regression, and ii) binary classification under mixture of
Gaussian models, and show that under the proper choice of score function, an
internal component of our test, with sufficient number of samples will achieve
full statistical power. We evaluate our findings through extensive numerical
simulations, specifically we adopt the datamodel framework (Ilyas, et al.,
2022) for CIFAR-10 dataset to identify pairs of training samples with different
influence on the trained model via optional black box training mechanisms.
