I'm using R's gbm() package to do a boosted classification problem, where my response variable is a binary variable taking values of 0 and 1. I have 11 predictors in my data set. After running the gbm() procedure, I then obtained a plot of the relative importance for each variable. Basically, it says that my variable X2 has a relative influence of 95.5%.
My problem is that I tried to actually confirm that this is true, or rather, visualize the accuracy of this result. I therefore created a scatter plot of X2 vs. the binary response variable, but there is no clear correlation between the 2 variables, despite a very strong relative influence. Perhaps a logistic regression would work, but the pseudo-R^2 values were almost zero.
Does anyone know in this case what a 95.5% relative influence would even mean? Thanks!