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This is a more theoretical question, perhaps less suiting to the required format of a question on cross validated. Still I hope someone can help or advise me.

I'm using r.

I have a data frame with roughly 180k observations and 120 variables. When running through a multiple regression model there ends up being ~1000 variables including dummy variables.

My baseline kitchen sink model is the target variable as a function of all ~999 variables. This takes r about 10 minutes to compute on a single 0.8 train and 0.2 test data on my 6gb Mac, 2.2 processor.

On my baseline kitchen sink model I also did kfolds cross validation on training with 10 folds. Roughly this took an hour to compute.

I'm looking at my notes from school on feature selection. I would like to try stepwise regression, forwards and backwards to see what it comes with for my performance measure Mean Absolute Error.

I would also, for each iteration within stepwise, train using cross validation.

Is this possible? If running the baseline model 10 times with a single cross validation takes 1hour then I'm about to ask r to do the same 999 times with a stepwise instruction.

Is what I'm trying to do "normal"? Is my understanding and approach "sane"? Given the size of my data and that I'm on a 6gb Mac, what would be a logical approach for feature selection and training?

If I should provide any more info here such as str(df) let me know.

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  • $\begingroup$ For a speed boost look up the lmfit function in R, and use it instead directly with matrixes instead of a formula based model $\endgroup$
    – Repmat
    Commented Oct 14, 2016 at 11:09

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Instead of using stepwise regression, which is a method very often frowned upon, I would use LASSO/Elastic Net, gamboostLSS or Bayesian Model Averaging.

If you would like to gauge the models predictive performance then a kfold cv is a good way to go about doing so.

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