A bias correction algorithm for the Gini variable importance measure in classification trees

This article considers a measure of variable importance frequently used in variable selection methods based on decision trees and tree-based ensemble models. These models include CART, random forests, and gradient boosting machine. The measure of variable importance is defined as the total heterogeneity reduction produced by a given covariate on the response variable when the sample space is recursively partitioned. Despite its popularity, some authors have shown that this measure is biased to the extent that, under certain conditions, there may be dangerous effects on variable selection. Here we present a simple and effective method for bias correction, focusing on the easily generalizable case of the Gini index as a measure of heterogeneity.