Classification and Regression Trees

Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Decision Trees. 19 min read, ~2,814 words.

Regression trees predict the mean of Y in each terminal node; classification trees predict the majority class. Same tree structure, different prediction rule. Regression splits minimize residual sum of squares (RSS); classification splits minimize Gini index or cross-entropy. Classification error rate is too coarse for growing. Trees grow greedy and...