Hello,
I am using the R randomForest package to classify variable stars. I have
a training set of 1755 stars described by (too) many variables. Some of
these variables are highly correlated.
I believe that I understand how randomForest works and how the variable
importance are evaluated (through variable permutations). Here are my
questions.
1) variable importance error? Is there any ways to estimate the error on
the "MeanDecreaseAccuracy"? In other words, I would like to know how
significant are "MeanDecreaseAccuracy" differences (and display
horizontal error bars in the VarImpPlot output).
I have notice that even with relatively large number of trees, I have
variation in the importance values from one run to the next. Could this
serve as a measure of the errors/uncertainties?
2) how to deal with variable correlation? so far, I am iterating,
selecting the most important variable first, removing all other variable
that have a high correlation (say higher than 80%), taking the second
most important variable left, removing variables with high-correlation
with any of the first two variables, and so on... (also using some
astronomical insight as to which variables are the most important!)
Is there a better way to deal with correlation in randomForest? (I
suppose that using many correlated variables should not be a problem for
randomForest, but it is for my understanding of the data and for other
algorithms).
3) How many variables should eventually be used? I have made successive
runs, adding one variable at a time from the most to the least important
(not-too-correlated) variables. I then plot the error rate (err.rate) as
a function of the number of variable used. As this number increase, the
error first sharply decrease, but relatively soon it reaches a plateau .
I assume that the point of inflexion can be use to derive the minimum
number of variable to be used. Is that a sensible approach? Is there any
other suggestion? A measure of the error on "err.rate" would also here
really help. Is there any idea how to estimate this? From the variation
between runs or with the help of "importanceSD" somehow?
Thanks very much in advance for any help.
Pierre Dubath
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