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Standard error of transformed predictions using randomForestInfJack

Open lucazav opened this issue 4 years ago • 2 comments

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.

lucazav avatar Jun 17 '20 11:06 lucazav

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).

swager avatar Jun 17 '20 16:06 swager

I found a way to calculate standard error after a variable transformation thanks to this post.

lucazav avatar Jun 19 '20 17:06 lucazav