Ensemble methods based on bootstrapping have improved the predictive accuracy of base learners, but fail to provide a framework in which formal statistical inference can be conducted. Recent theoretical developments suggest taking subsamples without replacement and analyze the resulting estimator in the context of a U-statistic, thus demonstrating asymptotic normality properties. However, we observe that current methods for variance estimation exhibit severe bias when the number of base learners is not large enough, compromising the validity of the resulting confidence intervals or hypothesis tests. This paper shows that similar asymptotics can be achieved by means of V-statistics, corresponding to taking subsamples with replacement. Further, we develop a bias correction algorithm for estimating variance in the limiting distribution, which yields satisfactory results with moderate size of base learners.

In this paper we propose using the principle of boosting to reduce the bias of a random forest prediction in the regression setting. From the original random forest fit we extract the residuals and then fit another random forest to these residuals. We call the sum of these two random forests a \textit{one-step boosted forest}. We have shown with simulated and real data that the one-step boosted forest has a reduced bias compared to the original random forest. The paper also provides a variance estimate of the one-step boosted forest by an extension of the infinitesimal Jackknife estimator. Using this variance estimate we can construct prediction intervals for the boosted forest and we show that they have good coverage probabilities. Combining the bias reduction and the variance estimate we have shown that the one-step boosted forest has a significant reduction in predictive mean squared error and thus an improvement in predictive performance. When applied on datasets from the UCI database we have empirically proven that the one-step boosted forest performs better than the random forest and gradient boosting machine algorithms. Theoretically we can also extend such a boosting process to more than one step and the same principles outlined in this paper can be used to find variance estimates for such predictors. Such boosting will reduce bias even further but it risks over-fitting and also increases the computational burden.

While statistical learning methods have proved powerful tools for predictive modeling, the black-box nature of the models they produce can severely limit their interpretability and the ability to conduct formal inference. However, the natural structure of ensemble learners like bagged trees and random forests has been shown to admit desirable asymptotic properties when base learners are built with proper subsamples. In this work, we demonstrate that by defining an appropriate grid structure on the covariate space, we may carry out formal hypothesis tests for both variable importance and underlying additive model structure. To our knowledge, these tests represent the first statistical tools for investigating the underlying regression structure in a context such as random forests. We develop notions of total and partial additivity and further demonstrate that testing can be carried out at no additional computational cost by estimating the variance within the process of constructing the ensemble. Furthermore, we propose a novel extension of these testing procedures utilizing random projections in order to allow for computationally efficient testing procedures that retain high power even when the grid size is much larger than that of the training set.