When should I use Gini importance or permutation importance?

What is the difference between Gini importance and permutation importance?

Gini importance measures feature importance based on the impurity decrease in decision trees, while permutation importance evaluates the impact of shuffling feature values on model performance.

When should I use Gini importance over permutation importance?

Use Gini importance when working with tree-based models for a quick assessment, and permutation importance for a more model-agnostic approach.

Are there any drawbacks to using Gini importance?

Yes, Gini importance can be biased towards features with more categories and may not reflect true importance in all cases.

Can permutation importance be used with any model?

Yes, permutation importance is model-agnostic and can be applied to any model, making it very versatile.