We are interested in replicating several duration studies in the literature using ensemble learning methods. After some experimentation, we opted for random survival forests (Ishwaran et al. 2008) for their simplicity and performance. However, the package randomForestSRC in R only allows for time-invariant covariates. As one might guess, many interesting theoretical problems usually involve parameters that take on different values over time. Does anyone know how to implement TVCs in R using machine learning? We would prefer sticking to random forests, but naturally would switch if there is a better alternative.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.