Just add noise: Debiasing tree-based variable importance in mixed data (arxiv.org)
arXiv:2609.14083v1 Announce Type: new
Abstract: Variable importance scores from tree-based methods such as random forests favor continuous predictors over categorical ones. We present a theoretical analysis of this bias and propose a simple remedy: add a small amount of noise to each categorical predictor. The correction is demonstrated on a variety of simulated and real-world datasets and combined with integrated path stability selection to perform variable selection with false discovery control for mixed data.
Abstract: Variable importance scores from tree-based methods such as random forests favor continuous predictors over categorical ones. We present a theoretical analysis of this bias and propose a simple remedy: add a small amount of noise to each categorical predictor. The correction is demonstrated on a variety of simulated and real-world datasets and combined with integrated path stability selection to perform variable selection with false discovery control for mixed data.
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