Global Censored Quantile Random Forest

• URL: http://arxiv.org/abs/2410.12209v1
• Date: Wed, 16 Oct 2024 04:05:01 GMT
• Title: Global Censored Quantile Random Forest
• Authors: Siyu Zhou, Limin Peng,
• Abstract summary: We propose a Global Censored Quantile Random Forest (GCQRF) for predicting a conditional quantile process on data subject to right censoring. We quantify the prediction process' variation without assuming an infinite forest and establish its weak convergence. We demonstrate the superior predictive accuracy of the proposed method over a number of existing alternatives.
• Score: 2.8413279736755017
• License:
• Abstract: In recent years, censored quantile regression has enjoyed an increasing popularity for survival analysis while many existing works rely on linearity assumptions. In this work, we propose a Global Censored Quantile Random Forest (GCQRF) for predicting a conditional quantile process on data subject to right censoring, a forest-based flexible, competitive method able to capture complex nonlinear relationships. Taking into account the randomness in trees and connecting the proposed method to a randomized incomplete infinite degree U-process (IDUP), we quantify the prediction process' variation without assuming an infinite forest and establish its weak convergence. Moreover, feature importance ranking measures based on out-of-sample predictive accuracy are proposed. We demonstrate the superior predictive accuracy of the proposed method over a number of existing alternatives and illustrate the use of the proposed importance ranking measures on both simulated and real data.

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