Latent Gaussian Model Boosting

Latent Gaussian models and boosting are widely used machine learning techniques. Tree-boosting shows excellent predictive accuracy on many data sets, but potential drawbacks are that it assumes conditional independence of samples, produces discontinuous predictions for, and it can have difficulty with high-cardinality categorical variables. Latent Gaussian models, such as Gaussian process and grouped random effects models, are flexible prior models that allow for making probabilistic predictions. However, existing latent Gaussian models usually assume either a zero or a linear prior mean function. This article introduces a novel approach that combines boosting and latent Gaussian models to remedy the above-mentioned drawbacks and to leverage the advantages of both techniques. We obtain increased predictive accuracy compared to existing approaches in both simulated and real-world data experiments.