尽管测试集的预测很低，但是可以使用训练集在R中使用randomForest确定变量重要性吗？

Question

I am using randomForest in R, I have a training model with R^2 of 0.94 , however , the prediction capacity for testing data is quite low. I would like to know if I can still use this training model only for determining which variable is more important/effective for output prediction.

Thanks

Answer 1

Based on what little information you provide, the question is hard to answer (think about providing more detail and background). Low prediction quality can result from wrong algorithm tuning, or it can be inherent in the data, ie your predictors themselves are not very strongly related to the outcome. In the first case, the prediction could be better with different parameters, eg more or less trees, different values for mtry, etc. If this is the case, then your importance measures are just as biased as your prediction (and should be used with caution). If the predictors themselves are weak, that means that your low quality prediction is as good as it gets. In this case, I would say the importance measures can be used, but they only tell you which of your overall weak predictors are more or less weak.