Building Decision Trees

Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Decision Trees. 23 min read, ~3,409 words.

Trees grow top-down by recursive binary splitting, choosing at each node the predictor and cutpoint that maximally reduces a loss function on the training data. Regression trees split to minimize residual sum of squares (RSS); classification trees split to minimize Gini index or cross-entropy, not classification error rate. A fully...