2
votes
0answers
53 views

Feature selection: permutation test Vs deleting a variable

In feature selection for predictive models, it is usually applied a permutation test. In this test, all the values of one variable are randomly permuted and the prediction accuracy is extracted for ...
0
votes
2answers
37 views

How to determine the factors correlated with observed data?

I have box-office collection data on a number of movies. I also have the production budget, director name, lead actor, actress, language and other meta data related to the movie. I want to know which ...
0
votes
2answers
52 views

Selecting features and estimating their out-of-sample performance with cross-validation

I have only a small dataset. I want to 1. select the most predictive features out of a large candidate pool and 2. get an estimate of their expected predictive performance. In the elements of ...
4
votes
2answers
427 views

Cross-validation and feature selection of a multivariate regression

I've been trying to create a multivariate regression model to fit my training data into the prediction of a value. I've put my data into a matrix X with ...
0
votes
0answers
32 views

Proper way to determine attribute feature selection's smaller subset based on result metrics

Overview My goal is to predict survival of an instance for five different time periods (binary attribute). I have a 100,000-instance dataset with 40 attributes and I want to reduce the attributes ...
2
votes
2answers
247 views

Variable selection in time-series forecasting

I have a time-series forecasting task and would like some input on variable selection and regularisation. My problem has the following characteristics: 2,000,000 sample size. Most of the time, no ...
0
votes
1answer
498 views

AIC, BIC, DIC, model selection criteria

I am trying to understand the difference between these parameters, and their application. Was hoping to get some correction/clarification to my statements. I have a training set and cross-validation ...
3
votes
0answers
175 views

Sensible to include ratio as a variable in logistic regression?

I'm creating a generalised linear regression using a binomial link function for two variables A and B. From looking at the data it appears that A/B may have discriminatory effect. Is it sensible to ...
4
votes
1answer
741 views

Variable selection with LASSO

I am trying to fit a predictive gene-based model in survival analysis. My question is: Can I use LASSO as a variable selection method, and then run a multivariate Cox regression to get the ...
1
vote
0answers
226 views

Guassian Process Regression - feature selection

I'm using guassian process regression to do some modeling. One issue I'm encountering is feature selection for some of my models, which often have many relevant features. I'm not sure what the best ...
1
vote
0answers
55 views

What are some common tools, initial approaches to data in a prediction problem when facing too many predictors?

If one is given several hundred features (of both categorical and continuous type) what are some approaches to determining which features to keep or even drop? Data as such is difficult to visualize ...
2
votes
0answers
134 views

Non-linear (e.g. RBF kernel) SVM with SCAD penalties implementation

Is there one? I think there's a penalizedSVM package in R but it looks to use a linear kernel. Can't quite tell from the documentation. If it's linear, is there a R package that lets me calculate the ...
9
votes
2answers
258 views

Domain-agnostic feature engineering that retains semantic meaning?

Feature engineering is often an important component to machine learning (it was used heavily to win the KDD Cup in 2010). However, I find that most feature engineering techniques either destroy ...
21
votes
3answers
4k views

Variables are often adjusted (e.g. standardised) before making a model - when is this a good idea, and when is it a bad one?

In what circumstances would you want to, or not want to scale or standardize a variable prior to model fitting? And what are the advantages / disadvantages of scaling a variable?