Xiangyu Zheng, Song Xi Chen
This paper proposes a partitioning structure learning method for segmented linear regression trees (SLRT), which assigns linear predictors over the terminal nodes. The recursive partitioning process is driven by an adaptive split selection algorithm that maximizes, at each node, a criterion function based on a conditional Kendall’s τ statistic that measures the rank dependence between the regressors and the fit- ted linear residuals. Theoretical analysis shows that the split selection algorithm permits consistent identification and estimation of the unknown segments. A suffi- ciently large tree is induced by applying the split selection algorithm recursively. Then the minimal cost-complexity tree pruning procedure is applied to attain the right-sized tree, that ensures (i) the nested structure of pruned subtrees and (ii) consistent estimation to the number of segments. Implanting the SLRT as the built-in base predictor, we obtain the ensemble predictors by random forests (RF) and the proposed weighted random forests (WRF). The practical performance of the SLRT and its ensemble versions are evaluated via numerical simulations and empirical studies. The latter shows their advantageous predictive performance over a set of state-of-the-art tree-based models on well-studied public datasets.