Covariance regression with random forests

• URL: http://arxiv.org/abs/2209.08173v3
• Date: Thu, 11 May 2023 15:32:42 GMT
• Title: Covariance regression with random forests
• Authors: Cansu Alakus, Denis Larocque, Aurelie Labbe
• Abstract summary: CovRegRF is implemented in a freely available R package on CRAN. An application of the proposed method to thyroid disease data is also presented.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Capturing the conditional covariances or correlations among the elements of a multivariate response vector based on covariates is important to various fields including neuroscience, epidemiology and biomedicine. We propose a new method called Covariance Regression with Random Forests (CovRegRF) to estimate the covariance matrix of a multivariate response given a set of covariates, using a random forest framework. Random forest trees are built with a splitting rule specially designed to maximize the difference between the sample covariance matrix estimates of the child nodes. We also propose a significance test for the partial effect of a subset of covariates. We evaluate the performance of the proposed method and significance test through a simulation study which shows that the proposed method provides accurate covariance matrix estimates and that the Type-1 error is well controlled. An application of the proposed method to thyroid disease data is also presented. CovRegRF is implemented in a freely available R package on CRAN.

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