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 explores the benefits of employing a nonparametric covariance regression approach utilizing a random forest framework to estimate the covariance matrix from a dataset of covariates. The primary advantage lies in its flexibility, allowing for the handling of complex and nonlinear relationships between variables. Additionally, this method is capable of capturing interactions among multiple covariates effectively, which can be crucial for accurate estimation in various real-world applications. Furthermore, by leveraging the ensemble learning capabilities of random forests, it ensures robustness against overfitting and provides reliable estimates even with smaller sample sizes. Overall, this proposed nonparametric covariance regression method offers a versatile and powerful tool for analyzing multivariate data through its unique combination of flexibility, interaction modeling, and robust estimation techniques. (English)
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