Covariance regression with random forests (Q71739): Difference between revisions
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Removed claim: summary_simple (P1639): This article explores a novel nonparametric covariance regression method utilizing a random forest framework. The primary advantage lies in its ability to estimate the covariance matrix effectively even when dealing with complex, high-dimensional datasets. Key features include adaptability to various types and structures of data, robustness against overfitting, and scalability for large datasets due to the efficient parallel processing capabi... Tag: Manual revert |
Created claim: summary (P1638): This article presents a novel method for estimating the covariance matrix of a multivariate response based on a set of covariates using a random forest framework. The methodology involves constructing trees optimized to maximize differences in sample covariance between child nodes, utilizing OOB data to estimate conditional covariance matrices for new observations. Key aspects include model setup with assumptions about error terms and covariat... |
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This article presents a novel method for estimating the covariance matrix of a multivariate response based on a set of covariates using a random forest framework. The methodology involves constructing trees optimized to maximize differences in sample covariance between child nodes, utilizing OOB data to estimate conditional covariance matrices for new observations. Key aspects include model setup with assumptions about error terms and covariate relationships, estimation through nearest neighbor analysis from OOB data, hypothesis testing for variable effects, assessment of variable importance, simulation study validation, and real data application. The method demonstrates flexibility, computational efficiency, and applicability in capturing complex relationships among variables, offering a competitive alternative to existing models in the literature. (English) | |||
| Property / summary: This article presents a novel method for estimating the covariance matrix of a multivariate response based on a set of covariates using a random forest framework. The methodology involves constructing trees optimized to maximize differences in sample covariance between child nodes, utilizing OOB data to estimate conditional covariance matrices for new observations. Key aspects include model setup with assumptions about error terms and covariate relationships, estimation through nearest neighbor analysis from OOB data, hypothesis testing for variable effects, assessment of variable importance, simulation study validation, and real data application. The method demonstrates flexibility, computational efficiency, and applicability in capturing complex relationships among variables, offering a competitive alternative to existing models in the literature. (English) / rank | |||
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Revision as of 22:41, 24 November 2024
scientific article from arXiv
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Covariance regression with random forests |
scientific article from arXiv |
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16 September 2022
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This article presents a novel method for estimating the covariance matrix of a multivariate response based on a set of covariates using a random forest framework. The methodology involves constructing trees optimized to maximize differences in sample covariance between child nodes, utilizing OOB data to estimate conditional covariance matrices for new observations. Key aspects include model setup with assumptions about error terms and covariate relationships, estimation through nearest neighbor analysis from OOB data, hypothesis testing for variable effects, assessment of variable importance, simulation study validation, and real data application. The method demonstrates flexibility, computational efficiency, and applicability in capturing complex relationships among variables, offering a competitive alternative to existing models in the literature. (English)
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