English

Asymptotic Theory for Random Forests

Statistics Theory 2016-05-05 v2 Machine Learning Statistics Theory

Abstract

Random forests have proven to be reliable predictive algorithms in many application areas. Not much is known, however, about the statistical properties of random forests. Several authors have established conditions under which their predictions are consistent, but these results do not provide practical estimates of random forest errors. In this paper, we analyze a random forest model based on subsampling, and show that random forest predictions are asymptotically normal provided that the subsample size s scales as s(n)/n = o(log(n)^{-d}), where n is the number of training examples and d is the number of features. Moreover, we show that the asymptotic variance can consistently be estimated using an infinitesimal jackknife for bagged ensembles recently proposed by Efron (2014). In other words, our results let us both characterize and estimate the error-distribution of random forest predictions, thus taking a step towards making random forests tools for statistical inference instead of just black-box predictive algorithms.

Keywords

Cite

@article{arxiv.1405.0352,
  title  = {Asymptotic Theory for Random Forests},
  author = {Stefan Wager},
  journal= {arXiv preprint arXiv:1405.0352},
  year   = {2016}
}

Comments

This manuscript is superseded by "Estimation and Inference of Heterogeneous Treatment Effects using Random Forests" by Wager and Athey (arXiv:1510.04342). The new paper extends the asymptotic theory developed here, and applies it to causal inference in the potential outcomes framework with unconfoundedness. The present version is maintained online for archival purposes only

R2 v1 2026-06-22T04:04:33.563Z