1/1
2 files

Local Linear Forests

dataset
posted on 15.10.2020, 21:00 by Rina Friedberg, Julie Tibshirani, Susan Athey, Stefan Wager

Random forests are a powerful method for nonparametric regression, but are limited in their ability to fit smooth signals. Taking the perspective of random forests as an adaptive kernel method, we pair the forest kernel with a local linear regression adjustment to better capture smoothness. The resulting procedure, local linear forests, enables us to improve on asymptotic rates of convergence for random forests with smooth signals, and provides substantial gains in accuracy on both real and simulated data. We prove a central limit theorem valid under regularity conditions on the forest and smoothness constraints, and propose a computationally efficient construction for confidence intervals. Moving to a causal inference application, we discuss the merits of local regression adjustments for heterogeneous treatment effect estimation, and give an example on a dataset exploring the effect word choice has on attitudes to the social safety net. Last, we include simulation results on real and generated data. A software implementation is available in the R package grf. Supplementary materials for this article are available online.

Funding

R.F. was supported by the DoD, Air Force Office of Scientific Research, National Defense Science and Engineering Graduate (NDSEG) Fellowship, 32 CFR 168a. The authors also gratefully acknowledge support by the Sloan Foundation, ONR grant N00014-17-1-2131, and NSF grant DMS-1916163. S.W. was supported by a Facebook Faculty Award.

History