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Quantitative Finance · Glossary

What is Bagging, random forest, out-of-bag error?

Also known as: bagging · random forest · out-of-bag error

Definition 5.2 Machine Learning for Markets · Chapter 5 — Trees and Boosting

Bagging (bootstrap aggregation) averages models fitted to bootstrap samples of the training set. A random forest bags deep trees and, at each split, considers only a random subset of the features, to decorrelate the trees. The out-of-bag error scores each training row with the trees whose bootstrap sample did not contain it.

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