VSURF: An R Package for Variable Selection Using Random Forests
Robin Genuer, Jean‐Michel Poggi, Christine Tuleau-Malot · The R Journal · 2015
This paper describes the R package VSURF.Based on random forests, and for both regression and classification problems, it returns two subsets of variables.The first is a subset of important variables including some redundancy which can be relevant for interpretation, and the second one is a smaller subset corresponding to a model trying to avoid redundancy focusing more closely on the prediction objective.The two-stage strategy is based on a preliminary ranking of the explanatory variables using the random forests permutation-based score of importance and proceeds using a stepwise forward strategy for variable introduction.The two proposals can be obtained automatically using data-driven default values, good enough to provide interesting results, but strategy can also be tuned by the user.The algorithm is illustrated on a simulated example and its applications to real datasets are presented.