Analysis and correction of bias in Total Decrease in Node Impurity measures for tree-based algorithms

Variable selection is one of the main problem faced by data mining and machine learning techniques. For the most part, these techniques are more or less explicitly based on some measure of variable importance. This paper considers Total Decrease in Node Impurity (TDNI) measures, a popular class of variable importance measures defined in the field of decision trees and tree-based ensemble methods, like Random Forests and Gradient Boosting Machines. In spite of their wide use, some measures of this class are known to be biased and some correction strategies have been proposed. The aim of this paper is twofold. First, to investigate the source and the characteristics of bias in TDNI measures using the notions of informative and uninformative splits. Second, a bias-correction algorithm, recently proposed for the Gini measure in the context of classification, is extended to the entire class of TDNI measures and its performance is investigated in the regression framework using simulated and real data. Corresponding author: Paola Zuccolotto, Quantitative Methods Department, University of Brescia, C.da Santa Chiara 50, 25122 Brescia, Italy. Email: [email protected]