Feature Selection

1. Filter: Scoring each feature, filter out good features.
1.1 Chi-Square 卡方检验
1.2 Correlation 相关检验
1.3 Information Gain 信息获取

2. Wrapper: Use subset(wrapper) of the feature to do modelling, then compare with other subsets.
1.1 Recursive feature elimination with cross validaton

3. Embedded: Measure the contribution of each feature when creating model.
1.1 Lasso

Check List:
1. 量级
2. 相关性
3. 需要剪枝
4. 需要rank

Feature Selection 特征选择