Covariance regression with random forests (Q71739)
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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 outlines a novel nonparametric covariance regression framework based on random forests designed to model high-dimensional response contexts effectively. Unlike parametric models, it does not assume any specific form and can capture interactions among covariates flexibly. The method offers computational efficiency and flexibility in estimating the conditional covariance matrix for multivariate responses given covariates. It includes significance tests and variable importance measures to understand the influence of each covariate on the predicted outcomes, making it a valuable tool for analyzing complex data relationships. (English)
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