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I'm using the bigrf R-package to analyse a dataset with ca. 50.000 observations x 120 variables, classified into two groups.

After growing a forest of 1000 trees, I investigate the importance and relationship of the 120 features in the relation to the 2 classes using, respectively, the fastimp and interactions functions, which produce very nice results.

However, I'm now interested in investigating the problem using 3 (or more) rather than 2 classes. In this case, the Gini variable importance calculated by fastimp only relates to overall importance.

My question is: Is there a way to calculate a class-specific Gini variable importance, or some similar measure?

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  • $\begingroup$ see this related thread on SO. Please let me know if you find the solution. $\endgroup$
    – Antoine
    Commented Aug 15, 2015 at 18:07

2 Answers 2

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I would intentionally imbalance the labels using class weights to make 3 lists of importance.

Tests:

  • downrate A to 10% of actual prevalence
  • use actual prevalence
  • downrate B to 10% of actual prevalence

Then for each of these you can rank the importance, and look at those that have big and consistent changes across these tests.

Also, unless you have done a convergence study, you are likely using waay too many trees. I also like to use Boruta to estimate variable importance. The data having ~50k rows and 120 columns isn't that big that you need to get big-centric tools working.

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There are multiple way of doing so

1) visualization - you can plot the abundance/frequency of each selected feature within each group as a bar plot. I assume visually the top feature will be more abundant in one group comparing with the other groups.

2) Exhaustive way - build 3 Random Forest model on each pair of two labels. Rank the features in each combination and eventually plot the result and see if gini scores for feature x is higher on both combinations.

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  • $\begingroup$ I would have appreciated to heard why my answer is downgraded. I can always update and add into answers. $\endgroup$
    – Areza
    Commented May 30, 2019 at 8:44
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    $\begingroup$ Some folks are uncharitable like that. They drive me crazy. $\endgroup$ Commented Dec 1, 2020 at 1:36

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