This package offers an implementation of the SIR (Sliced Inverse Regression) method, along with a thresholded version of SIR that allows variable selection. Fore more information, you can check the vignette of the package on that link, and explore the code on the GitHub repository.
A paper is currently being written.
install.packages("SIRthresholded")
To install the current development version from GitHub:
# install.packages("devtools")
devtools::install_github("clement-w/sirthresholded", build_vignettes = TRUE)
It is also possible to clone the repository, and install it manually (note: pandoc is required to build the vignette):
git clone git@github.com:Clement-W/SIRthresholded.git
cd SIRthresholded
R
# install.packages("devtools")
devtools::install(build_vignettes = TRUE)
library(SIRthresholded)
Once that package is installed, you can access the vignette with
vignette("SIRthresholded")
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