Unbiased Measurement of Feature Importance in Tree-Based Methods

12 Mar 2019  ·  Zhengze Zhou, Giles Hooker ·

We propose a modification that corrects for split-improvement variable importance measures in Random Forests and other tree-based methods. These methods have been shown to be biased towards increasing the importance of features with more potential splits. We show that by appropriately incorporating split-improvement as measured on out of sample data, this bias can be corrected yielding better summaries and screening tools.

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