Tree-Structured Regression Model Using a Projection Pursuit Approach

In this paper, a new tree-structured regression model—the projection pursuit regression tree—is proposed. It combines the projection pursuit classification tree with the projection pursuit regression. The main advantage of the projection pursuit regression tree is exploring the independent variable space in each range of the dependent variable. Additionally, it retains the main properties of the projection pursuit classification tree. The projection pursuit regression tree provides several methods of assigning values to the final node, which enhances predictability. It shows better performance than CART in most cases and sometimes beats random forest with a single tree. This development makes it possible to find a better explainable model with reasonable predictability.