The Annals of Statistics
- Ann. Statist.
- Volume 47, Number 2 (2019), 1148-1178.
Generalized random forests
We propose generalized random forests, a method for nonparametric statistical estimation based on random forests (Breiman [Mach. Learn. 45 (2001) 5–32]) that can be used to fit any quantity of interest identified as the solution to a set of local moment equations. Following the literature on local maximum likelihood estimation, our method considers a weighted set of nearby training examples; however, instead of using classical kernel weighting functions that are prone to a strong curse of dimensionality, we use an adaptive weighting function derived from a forest designed to express heterogeneity in the specified quantity of interest. We propose a flexible, computationally efficient algorithm for growing generalized random forests, develop a large sample theory for our method showing that our estimates are consistent and asymptotically Gaussian and provide an estimator for their asymptotic variance that enables valid confidence intervals. We use our approach to develop new methods for three statistical tasks: nonparametric quantile regression, conditional average partial effect estimation and heterogeneous treatment effect estimation via instrumental variables. A software implementation, grf for R and C++, is available from CRAN.
Ann. Statist., Volume 47, Number 2 (2019), 1148-1178.
Received: July 2017
Revised: April 2018
First available in Project Euclid: 11 January 2019
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62G05: Estimation
Athey, Susan; Tibshirani, Julie; Wager, Stefan. Generalized random forests. Ann. Statist. 47 (2019), no. 2, 1148--1178. doi:10.1214/18-AOS1709. https://projecteuclid.org/euclid.aos/1547197251
- Supplement to “Generalized random forests”. The supplement ontains proofs of technical results, as well as a simulation study for instrumental variables regression with forests.