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Statistical classification is the problem of identifying the sub-population to which new observations belong, where the identity of the sub-population is unknown, on the basis of a training set of data containing observations whose sub-population is known. Therefore these classifications will show a variable behavior which can be studied by statistics.

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How to interpret Lasso shrinking all coefficients to 0?

One possible reason is that the classes are imbalanced in your train and val datasets. Try stratifed sampling to split the whole dataset into train and val subsets. That is, make the event ratios same …
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