Nonlinear Random Forest Classification, a Copula-Based Approach

In this work, we use a copula-based approach to select the most important features for a random forest classification. Based on associated copulas between these features, we carry out this feature selection. We then embed the selected features to a random forest algorithm to classify a label-valued outcome. Our algorithm enables us to select the most relevant features when the features are not necessarily connected by a linear function; also, we can stop the classification when we reach the desired level of accuracy. We apply this method on a simulation study as well as a real dataset of COVID-19 and for a diabetes dataset.