Feature Importance Measures for Tree Models — Part I
Photo Credit 2018–02–20 Update: Adds two images (random forest and gradient boosting). 2019–05–25 Update: I’ve published a post covering another importance measure — SHAP values — on my personal blog and on Medium. This post is inspired by a Kaggle kernel and its discussions [1]. I’d like to do a brief review of common algorithms to measure feature importance with tree-based models. We can interpret the results to check intuition(no surprisingly important features), do feature selection, and guide the direction of feature engineering. ...