> The main question is, what is your definition of an "important" variable?
>
> Gilles
That's a good question;-) Seriously.
I would define it - with many closely related variables - as a member
of a set that gives you the best predictability.
LARS and LASSO with cross validation provide a good story along these
lines. But performing standardization can influence that.
What do people typically do in these situations?
Best Regards.
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