Variable selection and Bootstrap Forest
Hello,I performed a Bootstrap forest analysis wirth a categorical ouctcome with 230 features, many of them are highly correlated. There is a hughe difference in performance between my training (AUC 0.98) and validation set (0.68). Since the data are highly dimensional and many of the variables are correlated variable reduction is needed. Can I use GenReg with Lasso or other penalized techniques f...
jay_holavarri