CART analysis with multiple dependent variables

Question

I want to do a CART analysis with multiple dependent variables. Which program is able to do that?

Answer 1

If you want the loss function of the tree to operate over all $m$ responses at once, then you want a multivariate tree. I am aware of two pieces of software that can do this, both are packages for R; mvpart and party. mvpart is an extension to the familiar rpart package whilst party implements something different using conditional inference trees.

See the paper by Glenn De'ath cited in the mvpart documentation for details of how the package extends the recursive partitioning idea to multivariate trees and for details on the loss function used; it is based on dissimilarities and is within node sums of squares using the default settings, IIRC.