Circular Regression Trees and Forests with an Application to Probabilistic Wind Direction Forecasting
About
While circular data occur in a wide range of scientific fields, the methodology for distributional modeling and probabilistic forecasting of circular response variables is rather limited. Most of the existing methods are built on the framework of generalized linear and additive models, which are often challenging to optimize and to interpret. Therefore, we suggest circular regression trees and random forests as an intuitive alternative approach that is relatively easy to fit. Building on previous ideas for trees modeling circular means, we suggest a distributional approach for both trees and forests yielding probabilistic forecasts based on the von Mises distribution. The resulting tree-based models simplify the estimation process by using the available covariates for partitioning the data into sufficiently homogeneous subgroups so that a simple von Mises distribution without further covariates can be fitted to the circular response in each subgroup. These circular regression trees are straightforward to interpret, can capture nonlinear effects and interactions, and automatically select the relevant covariates that are associated with either location and/or scale changes in the von Mises distribution. Combining an ensemble of circular regression trees to a circular regression forest yields a local adaptive likelihood estimator for the von Mises distribution that can regularize and smooth the covariate effects. The new methods are evaluated in a case study on probabilistic wind direction forecasting at two Austrian airports, considering other common approaches as a benchmark.