I have a rather simple question the answer to which I struggle to find in any literature about GBM. I am fitting a GBM model as per G.Ridgeway (2007), paper can be found in http://www.saedsayad.com/docs/gbm2.pdf .


After fitting a model what assumptions should I check? Do we require the residuals to have mean zero and constant variance?


1 Answer 1


After contacting the author of the paper directly, I can answer the question myself. Assumptions:

1) Independence of observations

2) Assumptions related to the interaction depth. If set to $1$, strictly additive model is assumed. As we increase the interaction depth, this assumption is relaxed.


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