Implements a thresholded version of the Sliced Inverse Regression method (Li, K. C. (1991) <doi:10.2307/2290563>), which allows to do variable selection.

A regression and classification algorithm based on random forests, which takes the form of a short list of rules. SIRUS combines the simplicity of decision trees with a predictivity close to random forests. The core aggregation principle of random forests is kept, but instead of aggregating predictions, SIRUS aggregates the forest structure: the most frequent nodes of the forest are selected to form a stable rule ensemble model. The algorithm is fully described in the following articles: Benard C., Biau G., da Veiga S., Scornet E. (2021), Electron. J. Statist., 15:427-505 <DOI:10.1214/20-EJS1792> for classification, and Benard C., Biau G., da Veiga S., Scornet E. (2021), AISTATS, PMLR 130:937-945 <http://proceedings.mlr.press/v130/benard21a>, for regression. This R package is a fork from the project ranger (<https://github.com/imbs-hl/ranger>).

Variable selection techniques are essential tools for model
    selection and estimation in high-dimensional statistical models. Through this
    publicly available package, we provide a unified environment to carry out
    variable selection using iterative sure independence screening (SIS) (Fan and Lv (2008)<doi:10.1111/j.1467-9868.2008.00674.x>) and all
    of its variants in generalized linear models (Fan and Song (2009)<doi:10.1214/10-AOS798>) and the Cox proportional hazards
    model (Fan, Feng and Wu (2010)<doi:10.1214/10-IMSCOLL606>).

Implements the SISAL algorithm by Tikka and Hollmén. It is
        a sequential backward selection algorithm which uses a linear
        model in a cross-validation setting. Starting from the full
        model, one variable at a time is removed based on the
        regression coefficients. From this set of models, a
        parsimonious (sparse) model is found by choosing the model with
        the smallest number of variables among those models where the
        validation error is smaller than a threshold. Also implements
        extensions which explore larger parts of the search space
        and/or use ridge regression instead of ordinary least squares.