The HPFOREST Procedure

PROC HPFOREST offers three methods for selecting a variable to use in a splitting rule. The PRESELECT=LOH and PRESELECT=HOTHORN options specify two methods that avoid the bias towards nominal variables that is discussed in the section Controlling for Variable Selection Bias. The PRESELECT=HOTHORN is slightly faster on large data sets than PRESELECT=LOH. The third method, PRESELECT=BINNEDSEARCH, is appropriate when bias is less of a concern than finding the strongest variable to use in the splitting rule. The PRESELECT=BINNEDSEARCH method is slower than the other two methods.