Regularised and Information-Theoretic Sufficient Dimension Reduction
Overview
Implements covariance-stabilised sufficient dimension reduction for continuous responses, with an additional sparse engine for continuous, categorical, and right-censored survival responses and information-theoretic structural dimension selection. Supported methods include sliced inverse regression, sliced average variance estimation, directional regression, and principal Hessian directions. Sample, ridge, Oracle Approximating Shrinkage, Ledoit-Wolf, and Maximum Entropy Covariance (MEC) estimators are provided alongside prediction, resampling, simulation, and diagnostic utilities. The sufficient dimension reduction methods build on Li (1991) doi:10.1080/01621459.1991.10475035, Li (1992) doi:10.1080/01621459.1992.10476258, and Li and Wang (2007) doi:10.1198/016214507000000536. Covariance shrinkage follows Olorede and Yahya (2019) doi:10.48550/arXiv.1909.13017, Ledoit and Wolf (2004) doi:10.1016/S0047-259X(03)00096-4 and Chen et al. (2010) doi:10.1109/TSP.2010.2053029.
Sparse and survival SDR
- Added
fit_risdr_sparse()for joint structural-dimension and sparsity selection with continuous, categorical, and right-censored survival outcomes. - Added
fit_risdr_dual()andfit_risdr_sparse_realdata()for high-dimensional predictors, with selected-direction mapping and variable-ranking records. - Added censoring-status/time slicing, canonical pairwise-slice DR kernels, coordinate-level C1F adaptive weights, and complete information-criterion grids.
- Retained the frozen thesis convention: Efron Cox partial likelihood,
support_penalty = FALSE, and C1F complexity for ICOMP/CICOMP. - Preserved all existing 0.3.1 continuous-response interfaces and defaults. The new engine is explicitly selected through the new entry points.
- Added executable survival examples, a migration vignette, provenance records, and regression checks against both the frozen and existing implementations.
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-05
- NOTE11 OK, 1 NOTE2026-08-01
- OK7 OK2026-07-29
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- Help pages
- 117 (26 internal)includes a package overview page
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- 100%44 run in a plain check
- Exported functions with examples
- 55%
- Documented parameters
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- Return-value docs
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Checks run against github.com/ilovemaths/risdr on 2026-10-22.
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GitHub Pages site last deployed 2026-10-12 · The repository has a site deploy workflow
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- 0.4.0Latest2026-10-12 · current release · diff ↗ ·
added 13 exports
C1F, compute_ic, compute_ic_values, compute_penalty_weights, dual_pca_scores, fit_risdr_dual, fit_risdr_sparse, fit_risdr_sparse_realdata, fit_sparse_grid, slice_response, summarise_sparsity, weighted_soft_threshold, weighted_sparsify_directions - 0.3.12026-07-28
- RR 4.6.0 released · 2026-04-24
Package metadata
- First published
- 2026-07-28
- Total releases
- 2 / 1 yrs
- License
- GPL (>= 3) OSI
- Minimum R
- ≥ 4.1.0
- Download size
- 227 KB
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