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Frans Rodenburg
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For high dimensional data, does it make sense to do feature selection before running elastic net?

I have a dataset with $n = 800$ observations and $p = 2000$ features. I'm running elastic net for binary classification.

My question is:

  1. Does it make sense to do some feature selection to reduce the number of features to e.g. $p = 100$, before running elastic model? I understand that elastic net and lasso can do 'automatic' feature selection. But I have a pretty high dimensional dataset.

  2. If yes, any advice about feature selection methods before running regularized regression models like lasso and elastic net?

zesla
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