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

Abstract:

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 . 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.

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Published

June 20, 2022

Received

Jul 13, 2021

DOI

10.32614/RJ-2022-012

Volume

Pages

14/1

300 - 320

Supplementary materials

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

Footnotes

    References

    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].

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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}
    }