I have been working on a data set where there is more than 1 response variable (multi-output). I used random forest for this model. The data set has 17 predictor variables and 2 output variables. I made the model using scikit learn RandomForestRegressor and made the prediction, but I am stuck at finding the prediction intervals for new data points. I went through papers by Wager (2014) and also on quantile regression forest, I found a library in python named forestci which implements Wager (2014) and finds these intervals. But these papers and libraries don't discuss how we can find one for multiple response variables. I want to know how we can extend the prediction intervals for multi-output variables, so that I can make an uncertainty on my predicted responses. In the model I made, there are 17 predictors and 2 output variables.
- S. Wager, T. Hastie, B. Efron. “Confidence Intervals for Random Forests: The Jackknife and the Infinitesimal Jackknife”, Journal of Machine Learning Research vol. 15, pp. 1625-1651, 2014. (pdf)