How NOT to perform feature selection!

Christos - Iraklis Tsatsoulis Data Science 3 Comments

Cross-validation (CV) is nowadays being widely used for model assessment in predictive analytics tasks; nevertheless, cases where it is incorrectly applied are not uncommon, especially when the predictive model building includes a feature selection stage. I was reminded of such a situation while reading this recent Revolution Analytics blog post, where CV is used to assess both the feature selection …