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...r. I’m trying to reconcile this observation with Friedman’s description above, which according to my understanding, these two variables should have about the same measure of importance. I'll appreciate your comments. require(gbm) require(MASS) #Generate multivariate random data such that X1 is moderetly correlated by X2, strongly # correlated with X3, and not correlated with X4 or X5. cov.m <- matrix(c(1,0.5,0.9,0,0,0.5,1,0.2,0,0,0.9,0.2,1,0,0,0,0,0,1,0,0,0,0,0,1),5,5, byrow=T) n <- 2000 # obs X <- mvrnorm(n, rep(0, 5), cov.m) Y <- apply(X, 1, sum) SNR <- 10 # signal-to-noise rati...