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Quantitative Finance · Glosarium

Apa itu Feature selection, stability selection?

Dikenal juga sebagai: feature selection · stability selection

Definition 6.2 Machine Learning for Markets · Bab 6 — Feature Engineering, Selection and Importance

Feature selection chooses a subset of candidate features to use. Stability selection runs a selection procedure (the lasso’s nonzero coefficients, a model’s top features) on many random half-samples and keeps the features selected in a share of them above a threshold πthr∈(12,1]\pi_{\mathrm{thr}}\in(\frac12, 1] (Meinshausen and Bühlmann, 2010).

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