Megatvini/VIM: Variable Importance Measures for Multivariate Random Forests

Calculates two sets of post-hoc variable importance measures for multivariate random forests. The first set of variable importance measures are given by the sum of mean split improvements for splits defined by feature j measured on user-defined examples (i.e., training or testing samples). The second set of importance measures are calculated on a per-outcome variable basis as the sum of mean absolute difference of node values for each split defined by feature j measured on user-defined examples (i.e., training or testing samples). The user can optionally threshold both sets of importance measures to include only splits that are statistically significant as measured using an F-test.

install.packages("remotes")
remotes::install_github("Megatvini/VIM")