Extremal Random Forests
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Extremal Random Forests. / Gnecco, Nicola; Terefe, Edossa Merga; Engelke, Sebastian.
I: Journal of the American Statistical Association, 2024.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Extremal Random Forests
AU - Gnecco, Nicola
AU - Terefe, Edossa Merga
AU - Engelke, Sebastian
N1 - Publisher Copyright: © 2024 American Statistical Association.
PY - 2024
Y1 - 2024
N2 - Classical methods for quantile regression fail in cases where the quantile of interest is extreme and only few or no training data points exceed it. Asymptotic results from extreme value theory can be used to extrapolate beyond the range of the data, and several approaches exist that use linear regression, kernel methods or generalized additive models. Most of these methods break down if the predictor space has more than a few dimensions or if the regression function of extreme quantiles is complex. We propose a method for extreme quantile regression that combines the flexibility of random forests with the theory of extrapolation. Our extremal random forest (ERF) estimates the parameters of a generalized Pareto distribution, conditional on the predictor vector, by maximizing a local likelihood with weights extracted from a quantile random forest. We penalize the shape parameter in this likelihood to regularize its variability in the predictor space. Under general domain of attraction conditions, we show consistency of the estimated parameters in both the unpenalized and penalized case. Simulation studies show that our ERF outperforms both classical quantile regression methods and existing regression approaches from extreme value theory. We apply our methodology to extreme quantile prediction for U.S. wage data. Supplementary materials for this article are available online.
AB - Classical methods for quantile regression fail in cases where the quantile of interest is extreme and only few or no training data points exceed it. Asymptotic results from extreme value theory can be used to extrapolate beyond the range of the data, and several approaches exist that use linear regression, kernel methods or generalized additive models. Most of these methods break down if the predictor space has more than a few dimensions or if the regression function of extreme quantiles is complex. We propose a method for extreme quantile regression that combines the flexibility of random forests with the theory of extrapolation. Our extremal random forest (ERF) estimates the parameters of a generalized Pareto distribution, conditional on the predictor vector, by maximizing a local likelihood with weights extracted from a quantile random forest. We penalize the shape parameter in this likelihood to regularize its variability in the predictor space. Under general domain of attraction conditions, we show consistency of the estimated parameters in both the unpenalized and penalized case. Simulation studies show that our ERF outperforms both classical quantile regression methods and existing regression approaches from extreme value theory. We apply our methodology to extreme quantile prediction for U.S. wage data. Supplementary materials for this article are available online.
KW - Extreme quantiles
KW - Local likelihood estimation
KW - Quantile regression
KW - Random forests
KW - Threshold exceedances
UR - http://www.scopus.com/inward/record.url?scp=85185692133&partnerID=8YFLogxK
U2 - 10.1080/01621459.2023.2300522
DO - 10.1080/01621459.2023.2300522
M3 - Journal article
AN - SCOPUS:85185692133
JO - Journal of the American Statistical Association
JF - Journal of the American Statistical Association
SN - 0162-1459
ER -
ID: 384878166