VSURF: An R Package for Variable Selection Using Random Forests
Genuer, Robin ; Poggi, Jean-Michel ; Tuleau-Malot, Christine
HAL, hal-01251924 / Harvested from HAL
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 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 can also be tuned by the user. The algorithm is illustrated on a simulated example and its applications to real datasets are presented.
Publié le : 2015-12-04
Classification:  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]
@article{hal-01251924,
     author = {Genuer, Robin and Poggi, Jean-Michel and Tuleau-Malot, Christine},
     title = {VSURF: An R Package for Variable Selection Using Random Forests},
     journal = {HAL},
     volume = {2015},
     number = {0},
     year = {2015},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01251924}
}
Genuer, Robin; Poggi, Jean-Michel; Tuleau-Malot, Christine. VSURF: An R Package for Variable Selection Using Random Forests. HAL, Tome 2015 (2015) no. 0, . http://gdmltest.u-ga.fr/item/hal-01251924/