Abstract
In feature selection, classification accuracy typically needs to be estimated in order to guide the search towards the useful subsets. It has earlier been shown [1] that such estimates should not be used directly to determine the optimal subset size, or the benefits due to choosing the optimal set. The reason is a phenomenon called overfitting, thanks to which these estimates tend to be biased. Previously, an outer loop of cross-validation has been suggested for fighting this problem. However, this paper points out that a straightforward implementation of such an approach still gives biased estimates for the increase in accuracy that could be obtained by selecting the best-performing subset. In addition, two methods are suggested that are able to circumvent this problem and give virtually unbiased results without adding almost any computational overhead.
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Reunanen, J. (2006). Less Biased Measurement of Feature Selection Benefits. In: Saunders, C., Grobelnik, M., Gunn, S., Shawe-Taylor, J. (eds) Subspace, Latent Structure and Feature Selection. SLSFS 2005. Lecture Notes in Computer Science, vol 3940. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11752790_14
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DOI: https://doi.org/10.1007/11752790_14
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-34137-6
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