Methods and formulas for the gain chart for Random Forests^® Classification

Out-of-bag

For a given tree in the forest, a class vote for a row in the out-of-bag data is the predicted class for the row from the single tree. The predicted class for a row in out-of-bag data is the class with the highest vote across all trees in the forest. The predicted class probability for a row in the out-of-bag data is the ratio of the number of votes for the class and the total votes for the row.

For the curve for the out-of-bag data, each point on the chart represents a distinct predicted class probability. The highest event probability is the first point on the chart and appears leftmost. The other probabilities are in decreasing order.

The y-coordinate of the gain chart is the true positive rate in a percent scale. The calculation of the true positive rate is the same as for the ROC curve chart. The x-coordinate of the chart has the following form:

where is the number of rows where the fitted probability is greater than the threshold and N is the total number of rows. For details on the thresholds, go to Methods and Formulas for the Receiver Operating Characteristic (ROC) curve chart for Random Forests® Classification.

Separate test set

Use the same steps as the training set case but calculate the event probabilities from the cases for the test set.