To cite tree.interpreter in publications use:
Li X, Wang Y, Basu S, Kumbier K, Yu B (2019). “A Debiased MDI Feature Importance Measure for Random Forests.” arXiv:1906.10845 [cs, stat]. arXiv: 1906.10845, http://arxiv.org/abs/1906.10845.
Corresponding BibTeX entry:
@Article{,
title = {A {Debiased} {MDI} {Feature} {Importance} {Measure} for
{Random} {Forests}},
url = {http://arxiv.org/abs/1906.10845},
abstract = {Tree ensembles such as Random Forests have achieved
impressive empirical success across a wide variety of
applications. To understand how these models make predictions,
people routinely turn to feature importance measures calculated
from tree ensembles. It has long been known that Mean Decrease
Impurity (MDI), one of the most widely used measures of feature
importance, incorrectly assigns high importance to noisy
features, leading to systematic bias in feature selection. In
this paper, we address the feature selection bias of MDI from
both theoretical and methodological perspectives. Based on the
original definition of MDI by Breiman et al. for a single tree,
we derive a tight non-asymptotic bound on the expected bias of
MDI importance of noisy features, showing that deep trees have
higher (expected) feature selection bias than shallow ones.
However, it is not clear how to reduce the bias of MDI using its
existing analytical expression. We derive a new analytical
expression for MDI, and based on this new expression, we are able
to propose a debiased MDI feature importance measure using
out-of-bag samples, called MDI-oob. For both the simulated data
and a genomic ChIP dataset, MDI-oob achieves state-of-the-art
performance in feature selection from Random Forests for both
deep and shallow trees.},
urldate = {2019-10-18},
journal = {arXiv:1906.10845 [cs, stat]},
author = {Xiao Li and Yu Wang and Sumanta Basu and Karl Kumbier and
Bin Yu},
month = {jun},
year = {2019},
note = {arXiv: 1906.10845},
keywords = {Statistics - Machine Learning, Computer Science -
Machine Learning},
annote = {Comment: The first two authors contributed equally to
this paper},
}