Out-of-bag prediction balls for random forests in metric spaces

Diego Serrano Ortega and Eduardo García Portugués

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: [EN] Statistical methods for metric spaces provide a general and versatile framework for analyzing complex data types. We introduce a novel approach for constructing confidence regions around new predictions from any bagged regression algorithm with metric-space-valued responses. This includes the recent extensions of random forests for metric responses: Fréchet random forests (Capitaine et al.,2024), random forest weighted local constant Fréchet regression (Qiu et al., 2024), and metric random forests (Bulté and Sørensen, 2024). Our prediction regions lever-age out-of bag observations generated during a single forest training, employing the entire data set for both prediction and uncertainty quantification. We establish asymptotic guarantees of out-of-bag prediction balls for four coverage types under certain regularity conditions. Moreover, we demonstrate the superior stability and smaller radius of out-of-bag balls compared to split-conformal methods through extensive numerical experiments where the response lies on the Euclidean space, sphere, hyperboloid, and space o fpositive definite matrices. A real data application illustrates the potential of the confidence regions for quantifying the uncertainty in the study of solar dynamics and the use ofd ata-driven non-isotropic distances on the sphere

Keywords: Confidence; regions; Fréchet; mean; Random; objects; Regression; Objetos; aleatorios; Media; de; Fréchet; Regresión; Regiones; de; confianza (search for similar items in EconPapers)
Date: 2026-06-15
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