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Random forests for time-dependent processes. (English) Zbl 1455.62172
Summary: Random forests were introduced by L. Breiman [Mach. Learn. 45, No. 1, 5–32 (2001; Zbl 1007.68152)]. We study theoretical aspects of both original Breiman’s random forests and a simplified version, the centred random forests. Under the independent and identically distributed hypothesis, E. Scornet et al. [Ann. Stat. 43, No. 4, 1716–1741 (2015; Zbl 1317.62028)] proved the consistency of Breiman’s random forest, while G. Biau [J. Mach. Learn. Res. 13, 1063–1095 (2012; Zbl 1283.62127)] studied the simplified version and obtained a rate of convergence in the sparse case. However, the i.i.d hypothesis is generally not satisfied for example when dealing with time series. We extend the previous results to the case where observations are weakly dependent, more precisely when the sequences are stationary \(\beta\)-mixing.
MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H30 Classification and discrimination; cluster analysis (statistical aspects)
68T05 Learning and adaptive systems in artificial intelligence
62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
60G12 General second-order stochastic processes
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