The revival of the Gini importance?

Random forests are fast, flexible and represent a robust approach to analyze high dimensional data. A key advantage over alternative machine learning algorithms are variable importance measures, which can be used to identify relevant features or perform variable selection. Measures based on the impurity reduction of splits, such as the Gini importance, are popular because they are simple and fast to compute. However, they are biased in favor of variables with many possible split points and high minor allele frequency.

We set up a fast approach to debias impurity-based variable importance measures for classification, regression and survival forests. We show that it creates a variable importance measure which is unbiased with regard to the number of categories and minor allele frequency and almost as fast as the standard impurity importance. As a result, it is now possible to compute reliable importance estimates without the extra computing cost of permutations. Further, we combine the importance measure with a fast testing procedure, producing p-values for variable importance with almost no computational overhead to the creation of the random forest. Applications to gene expression and genome-wide association data show that the proposed method is powerful and computationally efficient.

The procedure is included in the ranger package, available at https://cran.r-project.org/package=ranger and https://github.com/imbs-hl/ranger.

Supplementary data are available at Bioinformatics online.