I would like to get the standard error of predictions from a random forest trained on y=log(x+1) target. The var.hat returned by randomForestInfJack is the variance of y, so se=sqrt(var.hat). Is there a way to get the variance of x given var(y) so that I can get se(x)? Thank you.
No there's an asymmetry between x and y in a forest: The forest can only be used to predict y from x, but not vice-versa (and the same goes for uncertainty quantification).
I would like to get the standard error of predictions from a random forest trained on
y=log(x+1)
target. Thevar.hat
returned by randomForestInfJack is the variance ofy
, sose=sqrt(var.hat)
. Is there a way to get the variance ofx
givenvar(y)
so that I can getse(x)
? Thank you.