1

Unfortunately I think the only concusion you can draw here is that your optimization/selection approach failed. For a technically successful optimization (somewhat regardless of the achieved generalization error), cross validation score and test results should be highly and positiviely correlated and that's not the case here. One reason I can think of is ...


1

One hypothesis that seems to fit your explanation is that X1 is correlated with a combination of some of the other variables (i.e. maybe X13, X43, and X44 explain X1). You can check whether it's correlated with the other variables (not just 1 vs 1 correlations) using VIF. This explanation could explain: (1) X1 shrunk by LASSO, which tends to be an ...


Only top voted, non community-wiki answers of a minimum length are eligible