Hi all,
I’m looking for an explanation of how the following HPForest variable importance metrics are calculated:
Train: Gini Reduction |
Train: Margin Reduction |
OOB: Gini Reduction |
OOB: Margin Reduction |
Is there a HPForest user manual that can be shared ? there is nothing on this in the EM help.
Many thanks.
The doc for HPFOREST is in the document SAS Enterprise Miner 14.1: High-Performance Procedures. The section titled "Measuring Variable Importance" discusses Gini reductoin, margin importance, and other methods.
You can see the EM doc from support.sas.com . The web page says that that doc is a "secure document" that is "provided in the product and on a secure site" and it gives a link for how to access the secure site.
The doc for HPFOREST is in the document SAS Enterprise Miner 14.1: High-Performance Procedures. The section titled "Measuring Variable Importance" discusses Gini reductoin, margin importance, and other methods.
You can see the EM doc from support.sas.com . The web page says that that doc is a "secure document" that is "provided in the product and on a secure site" and it gives a link for how to access the secure site.
Thanks Jason, using EM 13.2 - this level of detail is not avilable in help menu. The HP Procedures documenet is super though.
Hi Jason, I just started to use HPforest and quickly went though the SAS documentation. There are still a few questions in my mind:
a) Does VARS_TO_TRY=n mean that SAS randomly select n variables from all the N variables each time to split? And these n varables are not the same among different splits?
b) What does a negative Loss Reduction Gini number mean? Do we have some measure to tell us that some of the variables are not important for the model, like p-value in a Logistic Regression?
c) Any consensus regarding the better prediction approach between RF and Logistic Regression?
Many thanks!
Hongguang
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