- grf, which has built-in support for resampling-based confidence intervals, or
- ranger, which has an actively maintained version of the infinitesimal jackknife for random forests.
Confidence intervals for random forests using the infinitesimal jackknife, as developed by Efron (2014) and Wager et al. (2014).
To install this package in R, run the following commands:
install.packages("devtools") library(devtools) install_github("swager/randomForestCI")
library(randomForestCI) # Make some data... n = 250 p = 100 X = matrix(rnorm(n * p), n, p) Y = rnorm(n) # Run the method rf = randomForest(X, Y, keep.inbag = TRUE) ij = randomForestInfJack(rf, X, calibrate = TRUE) plot(ij)
Efron, Bradley. Estimation and accuracy after model selection. Journal of the American Statistical Association, 109(507), 2014. [link]
Wager, Stefan, Trevor Hastie, and Bradley Efron. Confidence intervals for random forests: The jackknife and the infinitesimal jackknife. The Journal of Machine Learning Research, 15(1), 2014. [link]