What’s the best method for selecting features for linear regression?

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What’s the best method for selecting features for linear regression?

Asked on Oct 30, 2025

Answer

Feature selection for linear regression is crucial for improving model performance and interpretability. The best methods include using statistical techniques, regularization methods, and automated selection algorithms to identify the most relevant features. These methods help in reducing multicollinearity, enhancing model simplicity, and improving prediction accuracy.

Example Concept: One effective method for feature selection in linear regression is using LASSO (Least Absolute Shrinkage and Selection Operator) regression. LASSO adds a penalty equal to the absolute value of the magnitude of coefficients, which can shrink some coefficients to zero, effectively selecting a simpler model with fewer features. This method is particularly useful when dealing with datasets with a large number of features, as it helps in identifying the most impactful variables while reducing overfitting.

Additional Comment:

Consider using correlation analysis to initially identify features with strong linear relationships with the target variable.
Recursive Feature Elimination (RFE) is another technique that can be used to recursively remove the least significant features based on model performance.
Cross-validation should be used to validate the effectiveness of the selected features across different subsets of the data.
Ensure that the selected features align with domain knowledge and business objectives for more meaningful insights.

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