F-tests for random forests that are scalable and efficient. This package provides code for running the test for an a priori specified subset of variables (MSE_Test), a marginal importance hypothesis test (permtestImp for default, f_holdoutRF for a faster holdout version), and several plotting/summarizing methods. Examples of output can be seen below:
See the original manuscript for details of/theory behind the method, https://arxiv.org/pdf/1904.07830.pdf.