Feature Selection via Detecting Ineffective Features

author: Kris De Brabanter, Optimization in Engineering Center (OPTEC), KU Leuven
published: Aug. 26, 2013,   recorded: July 2013,   views: 3730
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Description

Consider the regression problem with a response variable Y and with a feature vector X. For the regression function m(x) = E{Y | X = x}, we introduce a new and simple estimator of the minimum mean squared error L ∗ = E{(Y −m(X))2}. Let X(−k) be the feature vector, in which the k-th component of X is missing. In this paper we analyze a nonparametric test for the hypothesis that the k-th component is ineffective, i.e., E{Y | X} = E{Y | X(−k)} a.s.

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