Estimate the strength of interaction effects
Computes Friedman's H-statistic to assess the strength of variable interactions.
interact.gbm(x, data, i.var = 1, n.trees = x$n.trees)
The dataset used to construct
x. If the original dataset is large, a random subsample may be used to accelerate the computation in
A vector of indices or the names of the variables for compute the interaction effect. If using indices, the variables are indexed in the same order that they appear in the initial
The number of trees used to generate the plot. Only the first
n.treestrees will be used.
interact.gbm computes Friedman's H-statistic to assess the relative
strength of interaction effects in non-linear models. H is on the scale of
[0-1] with higher values indicating larger interaction effects. To connect
to a more familiar measure, if \(x_1\) and \(x_2\) are uncorrelated
covariates with mean 0 and variance 1 and the model is of the form
Note that if the main effects are weak, the estimated H will be unstable. For example, if (in the case of a two-way interaction) neither main effect is in the selected model (relative influence is zero), the result will be 0/0. Also, with weak main effects, rounding errors can result in values of H > 1 which are not possible.
Returns the value of \(H\).
J.H. Friedman and B.E. Popescu (2005). “Predictive Learning via Rule Ensembles.” Section 8.1