The selection of grouped variables using the random forest algorithm is considered. First a new importance measure adapted for groups of variables is proposed. Theoretical insights into this criterion are given for additive regression models. Second,
an original method for selecting functional variables based on the grouped variable importance measure is developed. Using a wavelet basis, it is proposed to regroup all of the wavelet coefficients for a given functional variable and use a wrapper selection algorithm with these groups. Various other groupings which take advantage of the frequency and time localization of the wavelet basis are proposed. An extensive simulation study is performed to illustrate the use of the grouped importance measure in this context. The method is applied to a real life problem coming from aviation safety.
