this is a popular topic here but I have been reading through the different pages and could not find anything related with what I am wondering now.
So, I have a data set with X features and I would like to obtain a subset of them that are related with the output variable (aka feature selection). Let's say I want to use Lasso regression model with L1 regularization.
My question is: How should I apply CV in here?
Should I count the number of times a specific variable is discarded in each of the folds? At the very end I would know which of them were more discarded... But I do not trust on this approach since I am discarding the variance of my results. I guess I should apply some hypothesis testing to have some certainty on my results, but what should I apply?
Thank you all!