Ranking a random feature for variable and feature selection

  • Authors:
  • Hervé Stoppiglia;Gérard Dreyfus;Rémi Dubois;Yacine Oussar

  • Affiliations:
  • Informatique Caisse des Dépôts et Consignations, 113, rue Jean Marin Naudin, F - 92220 Bagneux, France;ESPCI, Laboratoire d'Électronique, 10, rue Vauquelin, F - 75005 Paris, France;ESPCI, Laboratoire d'Électronique, 10, rue Vauquelin, F - 75005 Paris, France;ESPCI, Laboratoire d'Électronique, 10, rue Vauquelin, F - 75005 Paris, France

  • Venue:
  • The Journal of Machine Learning Research
  • Year:
  • 2003

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Abstract

We describe a feature selection method that can be applied directly to models that are linear with respect to their parameters, and indirectly to others. It is independent of the target machine. It is closely related to classical statistical hypothesis tests, but it is more intuitive, hence more suitable for use by engineers who are not statistics experts. Furthermore, some assumptions of classical tests are relaxed. The method has been used successfully in a number of applications that are briefly described.