[R] Variable Importance - Random Forest

[Liaw, Andy]

I'm slowly clearing my back-log of r-help messages...

Please see reply inline below.

Andy

> From: Mathe, Ewy (NIH/NCI) [F]
> Hello,
> 
>  
> 
> I am trying to explore the use of random forests for 
> classification and
> am certain about the interpretation of the importance measurements.
> 
>  
> 
> When having the option "importance = T" in the randomForest call, the
> resulting 'importance' element matrix has four columns with the
> following headings:
> 
> 0 - mean raw importance score of variable x for class 0 (where
> importance is the difference between the permutated data error and the
> original test set error)
> 
> 1 - mean raw importance score of variable x for class 1
> 
> MeanDecreaseAccuracy : average lowering of the margin across all cases
> (where margin is the proportion of votes for the true class - the
> maximum proportion of votes for the other classes)
> 
> MeanDecreaseGini : summation of the gini decreases over all 
> trees in the
> forest
> 
>  
> 
> Are these definitions correct?  Why is the raw importance score
> calculated for each class?  Could one just average the raw importance
> scores for class 0 and 1 to get a composite importance score?

The "permutation-based" importance measures are based on OOB data.  For
each tree in the forest, the difference in error rates on the OOB data
with and without permuting the variable of interest is computed.  Call
this d[i] for the i-th tree.  The overall importance measure is
mean(d[i]) / se(d[i]), where se(d[i]) is sd(d[i])/sqrt(ntree) (the
"standard error").  The numbers in the "0" and "1" columns are the
analogs computed separately for the "0" class and "1" class separately.
These are useful, e.g., when "balanced sampling" is used.
  
  
> 
> Now, when having the option "importance = F" in the randomForest call,
> the 'importance' element is now a vector.  What values are those?

That's the MeanDecreaseGini, because they come at nearly zero additional
computation, so we might as well keep them.
 
>  
> 
> Thank you in advance for any input you may have.
> 
>  
> 
> Best,
> 
> Ewy
> 
> 
> Ewy Mathe, Ph. D.
> 
> Laboratory of Human Carcinogenesis
> 
> National Cancer Institute, NIH
> 
> 37 Convent Drive
> 
> Building 37, Room 3068
> 
> Bethesda, MD  20892-4255
> 
> Tel: 301-496-5835
> 
> Fax: 301-496-0497
> 
>  
> 
> 
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> 
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