Thanks Jason for such a comprehensive answer – it’s really much appreciated. Just one additional follow on question if I may, I’ve built a model using HP forest and I’m now trying to evaluate the variable importance. In the variable importance table (within the HP forest results) a number of different metrics are captured including “Number of Splitting Rules”, “Train: Gini Reduction”, “Train: Margin Reduction , “OOB: Gini Reduction” and “OOB: Margin Reduction”. I’m trying to find some SAS documentation on how these are calculated, for “OOB: Margin Reduction” I’m getting some negative values which is a little concerning. Is there any SAS documentation available? Many thanks in advance.
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