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 [email protected]: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")