VSURF: An R Package for Variable Selection Using Random Forests

Authors

• Robin Genuer, University of Bordeaux
• Jean-Michel Poggi, University of Orsay
• Christine Tuleau-Malot, University of Nice Sophia Antipolis

Date of this Version

12-2015

Document Type

Article

Citation

The R Journal (December 2015) 7(2); Editor: Bettina Grün

Comments

Copyright 2015, The R Foundation. Open access material. License: CC BY 3.0 Unported

Abstract

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.