Consistency of Random Survival Forests

Details Consistency of Random Survival Forests Consistency of Random Survival Forests

2008-11-18

arxiv.org/abs/0811.2844v1

Mathematics

Statistics Theory

Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics

Scientific paper

We prove uniform consistency of Random Survival Forests (RSF), a newly introduced forest ensemble learner for analysis of right-censored survival data. Consistency is proven under general splitting rules, bootstrapping, and random selection of variables--that is, under true implementation of the methodology. A key assumption made is that all variables are factors. Although this assumes that the feature space has finite cardinality, in practice the space can be a extremely large--indeed, current computational procedures do not properly deal with this setting. An indirect consequence of this work is the introduction of new computational methodology for dealing with factors with unlimited number of labels.

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