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Quantile Regression using Random Forests

Norm Matloff answers a reader question:

In my December 22 blog, I first introduced the classic parametric quantile regression (QR) concept. I then showed how one could use the qeML package to perform quantile regression nonparametrically, using the package’s qeKNN function for a k-Nearest Neighbors approach. A reader then asked if this could be applied to random forests (RFs). The answer is yes, and this will be the topic of the current post.

Read on to learn more about how to do this, including some of the challenges you’ll face along the way. H/T R-Bloggers.