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Model selection is a problem of judging which model from some set performs best. Popular methods include $R^2$, AIC and BIC criteria, test sets, and cross-validation. To some extent, feature selection is a subproblem of model selection.

9 votes

Superiority of LASSO over forward selection/backward elimination in terms of the cross valid...

You want to choose a subset of predictors according to some criteria. Might be in-sample AIC or adjusted R^2, or cross-validation, doesn't matter. You could test every single predictor subset combina …
Rocky McNuts's user avatar