RFpredInterval: An R Package for Prediction Intervals with Random Forests and Boosted Forests

Like many predictive models, random forests provide point predictions for new observations. Besides the point prediction, it is important to quantify the uncertainty in the prediction. Prediction intervals provide information about the reliability of the point predictions. We have developed a comprehensive R package, RFpredInterval, that integrates 16 methods to build prediction intervals with random forests and boosted forests. The set of methods implemented in the package includes a new method to build prediction intervals with boosted forests (PIBF) and 15 method variations to produce prediction intervals with random forests, as proposed by (Roy and Larocque 2020). We perform an extensive simulation study and apply real data analyses to compare the performance of the proposed method to ten existing methods for building prediction intervals with random forests. The results show that the proposed method is very competitive and, globally, outperforms competing methods.

Cansu Alakus (Department of Decision Sciences) , Denis Larocque (Department of Decision Sciences) , Aurélie Labbe (Department of Decision Sciences)
2022-06-21

Supplementary materials

Supplementary materials are available in addition to this article. It can be downloaded at RJ-2022-012.zip

M.-H. Roy and D. Larocque. Prediction intervals with random forests. Statistical Methods in Medical Research, 29(1): 205–229, 2020. URL https://doi.org/10.1177/0962280219829885 [online; last accessed May 4, 2021].

References

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Citation

For attribution, please cite this work as

Alakus, et al., "The R Journal: RFpredInterval: An R Package for Prediction Intervals with Random Forests and Boosted Forests", The R Journal, 2022

BibTeX citation

@article{RJ-2022-012,
  author = {Alakus, Cansu and Larocque, Denis and Labbe, Aurélie},
  title = {The R Journal: RFpredInterval: An R Package for Prediction Intervals with Random Forests and Boosted Forests},
  journal = {The R Journal},
  year = {2022},
  note = {https://doi.org/10.32614/RJ-2022-012},
  doi = {10.32614/RJ-2022-012},
  volume = {14},
  issue = {1},
  issn = {2073-4859},
  pages = {300-320}
}