randomForestCI
randomForestCI copied to clipboard
Standard error of transformed predictions using randomForestInfJack
I would like to get the standard error of predictions from a random forest trained on y=log(x+1)
target. The var.hat
returned by randomForestInfJack is the variance of y
, so se=sqrt(var.hat)
. Is there a way to get the variance of x
given var(y)
so that I can get se(x)
? Thank you.
No there's an asymmetry between x
and y
in a forest: The forest can only be used to predict y
from x
, but not vice-versa (and the same goes for uncertainty quantification).
I found a way to calculate standard error after a variable transformation thanks to this post.