[R] Random Forests: Predictor importance for Regression Trees

[Liaw, Andy]

Yes, you've got it!

Cheers,
Andy 

From: Behalf Of Dimitri 
> 
> Hello!
> 
> I think I am relatively clear on how predictor importance (the first
> one) is calculated by Random Forests for a Classification tree:
> 
> Importance of predictor P1 when the response variable is categorical:
> 
> 1. For out-of-bag (oob) cases, randomly permute their values on
> predictor P1 and then put them down the tree
> 2. For a given tree, subtract the number of votes for the correct
> class in the predictor-P1-permuted oob dataset from the number of
> votes for the correct class in the untouched oob dataset: if P1 is
> important, this number will be large.
> 3. The average of this number over all trees in the forest is the raw
> importance score for predictor P1.
> 
> I am wondering what step 2 above looks like if the response variable
> is continous and not categorical, in other words - for a Regression
> tree. Could you please correct if what I wrote below is wrong? Thank
> you very much!
> 
> Importance of predictor P1 when the response variable is continous:
> 
> 1. For out-of-bag (oob) cases, randomly permute their values on
> predictor P1 and then put them down the tree
> 2. For a given tree, calculate mean squared deviation of observed y
> minus predicted y for (a) the untouched oob dataset and for (b) the
> predictor-P1-permuted oob dataset. Subtract (a) from (b).
> 3. The average of this number over all trees in the forest is the raw
> importance score for predictor P1.
> 
> -- 
> Dimitri Liakhovitski
> MarketTools, Inc.
> Dimitri.Liakhovitski at markettools.com
> 
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