Authored by Maternus

Feature selection: permutation importance

Reducing the feature count is helpful for many reasons; some are:

  1. better understanding of the core regressors
  2. less computation training the model
  3. supporting feature engineering
  4. ...

An easy way to the check the importance of a feature is called permutation importance - screwing up one feature at a time and computing the relevance of that feature w.r.t. the other feature in means of a accuracy metric.

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