Groupe d’études et de recherche en analyse des décisions

G-2010-51

Mixed Effects Random Forest for Clustered Data

This paper presents an extension of the well known random forest method to the case of clustered data. The proposed "mixed effects random forest" method is implemented using a standard random forest algorithm within the framework of the expectation-maximization (EM) algorithm. The simulation results show that the proposed mixed effects random forest method provide substantial improvements over standard random forest when the random effects are non negligible.

, 18 pages