An overview of feature selection strategies

Feature selection and engineering are the most important factors which affect the success of predictive modeling. This remains true even today despite the success of deep learning, which comes with automatic feature engineering. Parsimonious and interpretable models provide simple insights into business problems and therefore they are deemed very valuable. Furthermore, in many occasions the underlying size and structure of the data being analyzed may not allow the use of complex models that have many parameters to tune. For example, in clinical settings where the number of samples is usually much lower than the number of features one could extract (e.g.