Chunk #91 — The Methods — Variable Importance

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An introduction to recursive partitioning: rationale, application, and characteristics of classification and regression trees, bagging, and random forests.

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When the central limit theorem is applied to the mean importance VI (xj), Breiman and Cutler (2008) argue that the z-score is asymptotically standard normal. This property is often used for a statistical test, that, however, shows very poor statistical properties as outlined in the section on “Features and pitfalls”.