Targeted tuning of random forests for quantile estimation and prediction intervals

Abstract: We present a novel tuning procedure for random forests (RFs) that improves the accuracy of estimated quantiles and produces valid, relatively narrow prediction intervals. While RFs are typically used to estimate mean responses (conditional on covariates), they can also be used to estimate quantiles by estimating the full distribution of the response. However, standard approaches for building RFs often result in excessively biased quantile estimates. To reduce this bias, our proposed tuning procedure minimizes "quantile coverage loss" (QCL), which we define as the estimated bias of the marginal quantile coverage probability estimate based on the out-of-bag sample. We adapt QCL tuning to handle censored data and demonstrate its use with random survival forests. We show that QCL tuning results in quantile estimates with more accurate coverage probabilities than those achieved using default parameter values or traditional tuning (using MSPE for uncensored data and C-index for censored data), while also reducing the estimated MSE of these coverage probabilities. We discuss how the superior performance of QCL tuning is linked to its alignment with the estimation goal. Finally, we explore the validity and width of prediction intervals created using this method.