What are common pitfalls when interpreting feature importance in tree-based models?

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What are common pitfalls when interpreting feature importance in tree-based models?

Asked on Dec 11, 2025

Answer

Interpreting feature importance in tree-based models, such as those generated by decision trees, random forests, or gradient boosting, can be misleading if not done carefully. These models often provide feature importance scores, but these scores can be biased or misinterpreted due to various factors.

Example Concept: In tree-based models, feature importance is often calculated based on the reduction in impurity (e.g., Gini impurity or entropy) or the total gain brought by a feature across all trees. However, these scores can be biased towards features with more categories or higher cardinality, as they tend to split more often. Additionally, correlated features can lead to misleading interpretations, as the importance can be distributed among them, making it seem like each is less important than it actually is.

Additional Comment:

Consider using permutation importance, which measures the change in model performance when a feature's values are randomly shuffled, providing a more reliable estimate of a feature's true importance.
Be cautious of multicollinearity, as it can distort the perceived importance of correlated features.
Use SHAP values for a more consistent and interpretable measure of feature importance, as they provide insights into the contribution of each feature to individual predictions.
Always validate feature importance findings with domain knowledge and additional analysis to ensure they align with practical expectations.

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