More on Feature Selection

A favorite topic of mine, and I believe the most important introductory aspect of analytic modeling.
Here in DSC.   It is very important to get feature selection right.  Both in what you include, and what you leave out.    In particular this article does a very good job in showing how the selection of features is influenced by your goals in modeling, and how your  models can be made more predictive by engineering your variables.  This links model goals and business needs, always a good idea.


In DSC:  " ... Feature selection is one of the core topics in machine learning. In statistical science, it is called variable reduction or selection.  ... Here, we mention an article published by Isabelle Guyon and Andre Elisseeff in Journal of Machine Learning Research. While published in 2003, it is still one of the best ML papers on feature selection.