6
$\begingroup$

I've run a Random Forest in R using randomForest package.

The fitted forest I've called: fit.rf.

All I want to know is: When I type 'fit.rf' the output shows '% var explained' Is the % Var explained the out-of-bag variance explained?

Thanks in advance.

$\endgroup$
8
$\begingroup$

Yes %explained variance is a measure of how well out-of-bag predictions explain the target variance of the training set. Unexplained variance would be to due true random behaviour or lack of fit.

%explained variance is retrieved by randomForest:::print.randomForest as last element in rf.fit$rsq and multiplied with 100.

Documentation on rsq: rsq (regression only) “pseudo R-squared”: 1 - mse / Var(y). Where mse is mean square error of OOB-predictions versus targets, and var(y) is variance of targets.

see this answer also.

$\endgroup$
  • $\begingroup$ Would not have thought that was possible, as then either model variance('mse') or total variance('Var(y)') would have to be negative. I'd like to see a code that can produce a >100% performance. It can be negative though when model variance is larger than total variance. The implications thereof is then you likely would be better of with off with a simple average than a random forest model. $\endgroup$ – Soren Havelund Welling Nov 3 '15 at 16:51
  • $\begingroup$ [note] above comment was a small answer as some body asked: "What if explained variance is more than 100%" and the person later deleted the comment again $\endgroup$ – Soren Havelund Welling Nov 5 '15 at 10:21

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.