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Correlation and variable importance in random forests

Open access
Gregorutti, Baptiste, Michel, Bertrand, Saint-Pierre, Philippe·2017·Statistics and Computing

Abstract

This paper is about variable selection with the random forests algorithm in presence of correlated predictors. In high-dimensional regression or classification frameworks, variable selection is a difficult task, that becomes even more challenging in the presence of highly correlated predictors. Firstly we provide a theoretical study of the permutation importance measure for an additive regression model. This allows us to describe how the correlation between predictors impacts the permutation importance. Our results motivate the use of the recursive feature elimination (RFE) algorithm for variable selection in this context. This algorithm recursively eliminates the variables using permutation importance measure as a ranking criterion. Next various simulation experiments illustrate the efficiency of the RFE algorithm for selecting a small number of variables together with a good prediction error. Finally, this selection algorithm is tested on the Landsat Satellite data from the UCI Machine Learning Repository.

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Metadata

Authors
Gregorutti, B., Michel, B., & Saint-Pierre, P.
Venue
Statistics and Computing
Published
2016-03-23
Volume
27
Issue
3
Pages
659-678
ISSN
  • 0960-3174 (ISSN-L)
  • 1573-1375
OpenAlex
W2169281690
Cited by
1,073
References
6
FWCI
37.33
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Correlation and variable importance in random forests. https://app.cochat.ai/papers/10.1007/s11222-016-9646-1
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Gregorutti, B., Michel, B., & Saint-Pierre, P. (2017). Correlation and variable importance in random forests. Statistics and Computing. https://doi.org/10.1007/s11222-016-9646-1

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