What evaluation metrics are available for GBM?¶
Mean Residual Deviance
Notes: MSE = Mean Residual Deviance for Gaussian distributions. Also, look at Mean Residual Deviance when using quantile distributions.
How is variable importance determined?¶
Variable importance is determined by calculating the relative influence of each variable: whether that variable was selected during splitting in the tree building process and how much the squared error (over all trees) improved (decreased) as a result.