Groupe d’études et de recherche en analyse des décisions

G-2010-51

Mixed Effects Random Forest for Clustered Data

, et

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