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Quantitative Finance · Glossary

What is Mean decrease in impurity, permutation importance?

Also known as: mean decrease in impurity · permutation importance

Definition 6.4 Machine Learning for Markets · Chapter 6 — Feature Engineering, Selection and Importance

The mean decrease in impurity (MDI, or gain importance) of a feature is the total loss reduction of the splits on it across a tree ensemble, computed on the training data. The permutation importance is the drop in a held-out score when the feature’s column is randomly permuted, breaking its link with the target and the other features.

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