Random Forests as Statistical Procedures: Design, Variance, and Dependence
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Abstract (arXiv)
We develop a finite-sample, design-based theory for random forests in which each tree is a randomized conditional predictor acting on fixed covariates and the forest is their Monte Carlo average. An exact variance identity separates Monte Carlo error from a covariance floor that persists under infinite aggregation. The floor arises through two mechanisms: observation reuse, where the same training outcomes receive weight across multiple trees, and partition alignment, where independently generated trees discover similar conditional prediction rules. We prove the floor is strictly positive under minimal conditions and show that alignment persists even when sample splitting eliminates observation overlap entirely. We introduce procedure-aligned synthetic resampling (PASR) to estimate the covariance floor, decomposing the total prediction uncertainty of a deployed forest into interpretable components. For continuous outcomes, resulting prediction intervals achieve nominal coverage with a theoretically guaranteed conservative bias direction. For classification forests, the PASR estimator is asymptotically unbiased, providing the first pointwise confidence intervals for predicted conditional probabilities from a deployed forest. Nominal coverage is maintained across a range of design configurations for both outcome types, including high-dimensional settings. The underlying theory extends to any tree-based ensemble with an exchangeable tree-generating mechanism.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). Builds on 10 of its 30 references that are in the map. First posted on arXiv 13 Feb 2026.
Builds on
10 of 30 references.
References · 10
- 2015Estimation and Inference of Heterogeneous Treatment Effects using Random Forestscited by 600
- 2016Generalized Random Forestscited by 312
- 2015A Random Forest Guided Tourcited by 168
- 2014Consistency of random forestscited by 85
- 2019Randomization as Regularization: A Degrees of Freedom Explanation for Random Forest Successcited by 30
- 2024Why do Random Forests Work? Understanding Tree Ensembles as Self-Regularizing Adaptive Smootherscited by 15
- 2019Estimating the Algorithmic Variance of Randomized Ensembles via the Bootstrapcited by 10
- 2020Getting Better from Worse: Augmented Bagging and a Cautionary Tale of Variable Importancecited by 10
- 2022On Variance Estimation of Random Forests with Infinite-Order U-statisticscited by 6
- 2019Measuring the Algorithmic Convergence of Randomized Ensembles: The Regression Settingcited by 5
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Citing papers per year: 2026: 1.
1 paper.