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]