Hi, The main question is, what is your definition of an "important" variable?
Gilles On 1 June 2013 14:22, o m <oda...@gmail.com> wrote: > I've been playing around with Lasso and Lars, but there's something that > bothers me about standardization. > > If I don't standardize to N(0, 1), these procedures indicate that a certain > set of variables are the most important. Yet, if I standardize, I get a > completely different set of variables. As expected, the lars or lasso plots > from varying alpha look very different. I know there's a good reason for > this, but then what's the right way to identify the important variables from > a large set? > > I could take prediction quality on testing data, but there's a conflict if > the important variables are so different under standardization. > > Any help or pointers is appreciated. > > Best Regards. > > > ------------------------------------------------------------------------------ > Get 100% visibility into Java/.NET code with AppDynamics Lite > It's a free troubleshooting tool designed for production > Get down to code-level detail for bottlenecks, with <2% overhead. > Download for free and get started troubleshooting in minutes. > http://p.sf.net/sfu/appdyn_d2d_ap2 > _______________________________________________ > Scikit-learn-general mailing list > Scikit-learn-general@lists.sourceforge.net > https://lists.sourceforge.net/lists/listinfo/scikit-learn-general > ------------------------------------------------------------------------------ Get 100% visibility into Java/.NET code with AppDynamics Lite It's a free troubleshooting tool designed for production Get down to code-level detail for bottlenecks, with <2% overhead. Download for free and get started troubleshooting in minutes. http://p.sf.net/sfu/appdyn_d2d_ap2 _______________________________________________ Scikit-learn-general mailing list Scikit-learn-general@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
