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Activity Number: 255 - Contributed Poster Presentations: Section on Statistical Computing
Type: Contributed
Date/Time: Monday, July 29, 2019 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Computing
Abstract #306899
Title: Generalised Boosted Forests; Variance Estimation and Inference
Author(s): Indrayudh Ghosal*
Companies: Cornell University
Keywords: Interpretable Machine Learning; Random Forests; Boosting; Exponential Family; U-statistics; Inference

We propose boosting methods for random forests in an exponential family framework. For a model ??(Y|X) = g^{-1} (?(X))??, we propose estimating ?(X) via a small number of random forest boosting steps. To do so, we fit random forests to boosting pseudo-responses defined by the derivative of the log-likelihood at the current prediction. The leaves of this forest are then updated post-hoc to maximize log likelihood. This allows the iteration of this process to allow a small number of boosting steps. Using a small number of boosting steps allows us to extend existing variance estimators for random forests to our boosted estimate, thereby constructing prediction intervals with good asymptotic properties. We demonstrate in both real and simulated data that even one boosting step reduces bias and improves mean squared error compared to the standard random forest algorithm.

Authors who are presenting talks have a * after their name.

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