Covariance regression with random forests (Q71739)
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scientific article from arXiv
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| 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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The article discusses an innovative method for estimating the covariance matrix of multivariate responses using a random forest framework. This technique involves growing trees where splits are designed to maximize differences in sample covariance between child nodes based on covariates, then utilizing OOB data to estimate conditional covariances for new observations. Key steps include setting up the model with assumptions about response vectors and error terms, building trees optimized for covariate-based splits, estimating covariance matrices via nearest neighbors from OOB data, conducting hypothesis tests, assessing variable importance, and evaluating performance through simulations and a real data example. The method is flexible, captures complex relationships, and demonstrates efficiency in estimation tasks compared to other models. (English)
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Denis Larocque
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Aurelie Labbe
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