Susan Athey, Julie Tibshirani, Stefan Wager
arXiv 5 Oct 2016 · Statistics — Methodology · publishedThe Annals of Statistics (2019) · 16 citations (OpenAlex)
arXiv:1610.01271 · PDF · DOI · OpenAlex · Extracted main text
We propose generalized random forests, a method for non-parametric statistical estimation based on random forests (Breiman, 2001) that can be used to fit any quantity of interest identified as the solution to a set of local moment equations. Following the literature on local maximum likelihood estimation, our method considers a weighted set of nearby training examples; however, instead of using classical kernel weighting functions that are prone to a strong curse of dimensionality, we use an adaptive weighting function derived from a forest designed to express heterogeneity in the specified quantity of interest. We propose a flexible, computationally efficient algorithm for growing generalized random forests, develop a large sample theory for our method showing that our estimates are consistent and asymptotically Gaussian, and provide an estimator for their asymptotic variance that enables valid confidence intervals. We use our approach to develop new methods for three statistical tasks: non-parametric quantile regression, conditional average partial effect estimation, and heterogeneous treatment effect estimation via instrumental variables. A software implementation, grf for R and C++, is available from CRAN.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | barticle[author] Wager, StefanS. Athey, SusanS (2018) ) self | 1.000 | 27 | 6 | 100% |
| 2 | barticle[author] Meinshausen, NicolaiN (2006) ) | 1.000 | 12 | 3 | 100% |
| 3 | barticle[author] Athey, SusanS. Imbens, GuidoG (2016) ) | 1.000 | 7 | 4 | 100% |
| 4 | barticle[author] Mentch, LucasL. Hooker, GilesG (2016) ) | 1.000 | 7 | 4 | 100% |
| 5 | barticle[author] Breiman, LeoL (2001) ) | 1.000 | 7 | 3 | 100% |
| 6 | barticle[author] Newey, Whitney KW. K (1994) a) | 1.000 | 6 | 4 | 100% |
| 7 | barticle[author] Scornet, ErwanE., Biau, GérardG. Vert, Jean-Philipp… (2015) ) | 1.000 | 6 | 3 | 100% |
| 8 | barticle[author] Sexton, JosephJ. Laake, PetterP (2009) ) | 1.000 | 6 | 3 | 100% |
| 9 | bbook[author] Breiman, LeoL., Friedman, JeromeJ., Stone, Charles JC.… (1984) ) | 0.928 | 4 | 3 | 100% |
| 10 | binproceedings[author] Denil, MishaM., Matheson, DavidD. De Freitas,… (2014) ) | 0.928 | 4 | 3 | 100% |
Showing the top 10 of 84 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.