Grouped variable importance with random forests and application to multiple functional data analysis
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Publication:1663198
DOI10.1016/J.CSDA.2015.04.002zbMATH Open1468.62069arXiv1411.4170OpenAlexW2097296149MaRDI QIDQ1663198FDOQ1663198
Baptiste Gregorutti, Philippe Saint-Pierre, Bertrand Michel
Publication date: 21 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: The selection of grouped variables using the random forest algorithm is considered. First a new importance measure adapted for groups of variables is proposed. Theoretical insights into this criterion are given for additive regression models. Second, an original method for selecting functional variables based on the grouped variable importance measure is developed. Using a wavelet basis, it is proposed to regroup all of the wavelet coefficients for a given functional variable and use a wrapper selection algorithm with these groups. Various other groupings which take advantage of the frequency and time localization of the wavelet basis are proposed. An extensive simulation study is performed to illustrate the use of the grouped importance measure in this context. The method is applied to a real life problem coming from aviation safety.
Full work available at URL: https://arxiv.org/abs/1411.4170
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Computational methods for problems pertaining to statistics (62-08) Learning and adaptive systems in artificial intelligence (68T05) Functional data analysis (62R10)
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Cited In (19)
- Random forest-based approach for physiological functional variable selection for driver's stress level classification
- Functional variable selection via Gram–Schmidt orthogonalization for multiple functional linear regression
- Tree-based boosting with functional data
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- Pooling random forest and functional data analysis for biomedical signals supervised classification: theory and application to electrocardiogram data
- Multivariate analysis of variance for functional data
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