Gamestudio Links
Zorro Links
Newest Posts
Starting Zorro
by brax
Yesterday at 21:20
Sam Foster Sound | Experienced Indie Game Composer for Hire
by titanicpiano14
Yesterday at 19:09
Lost Key
by jcl
Yesterday at 13:58
Aum119 is ready
by Iglarion
Yesterday at 13:09
Zorro on Linux
by Nanitek
Yesterday at 11:08
AUM Magazine
Latest Screens
RPG PARTY
Triton Wing now available on Steam
AckCon'17: Lotter vs The World
Triton Wing
ZeaL
Who's Online
13 registered (Ch40zzC0d3r, AndrewAMD, Dico, ezaffa, NeoDumont, jenGs, Realspawn, Hredot, preacherX, jyd), 501 Guests and 4 Spiders online.
Key: Admin, Global Mod, Mod
Newest Members
vivekkumar, Hale75, victrades, htj, anufriyev
17781 Registered Users
Topic Options
Rate This Topic
#465821 - 05/14/17 11:55 Feature importance metrics
aw5 Offline
Newbie

Registered: 05/14/16
Posts: 5
I'd be most interested to hear if anyone has had worthwhile results using any particular feature importance metrics for determining feature inputs for machine learning models. I've tried most of the classification ones here: https://mlr-org.github.io/mlr-tutorial/release/html/filter_methods/index.html

...plus the usual suspects such as Boruta, MINE and stability selection

I've found none of them especially robust on a consistent basis (both using and not using feature scaling) as a means of predicting whether a particular feature set will be of use in predicting out of sample values. (For now I'm making do with the information ratio.) Of course given the nature of time series prediction that may just be the sad reality one has to live with. Or I may well be missing something... Many thanks

Top
#466580 - 06/22/17 09:18 Re: Feature importance metrics [Re: aw5]
Dalla Offline
Member

Registered: 02/24/17
Posts: 180
I've have not checked your link in detail, but perhaps you can find some inspiration in this series of post by Kris Longmore

https://robotwealth.com/machine-learning-financial-prediction-david-aronson/

Top



Gamestudio download | chip programmers | Zorro platform | shop | resources | magazine | manual | support faq | bugs | beta features

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) 3dgamestudio.net