Chapter 5: Feature Selection

Depending on how you began your data analytic work and your own intellectual interests, you might have a different perspective on the topic of feature selection. You might think, yeah, yeah, it is an important topic, but I really want to get to the model building. Or, at the other extreme, you might view feature selection as at the core of model building and believe that you are 90% of the way toward having your model once you have chosen your features. For now, let's just agree that we should spend a good chunk of time understanding the relationships between features – and their relationship to a target if we are building a supervised model – before we do any serious model specification.

It is helpful to approach our feature selection work with the attitude that less is more. If we can reach nearly the same degree of accuracy or explain as much of the variance with fewer features, we should select the simpler model. Sometimes, we...