Advanced Feature Selection in Linear Models

"There is nothing permanent except change."

– Heraclitus

So far, we've examined the usage of linear models for both quantitative and qualitative outcomes with an eye on the techniques of feature selection, that is, the methods and techniques that exclude useless or unwanted predictor variables. We saw that linear models can be quite useful in machine learning problems, how piece-wise linear models can capture non-linear relationships as multivariate adaptive regression splines. Additional techniques have been developed and refined in the last couple of decades that can improve predictive ability and interpretability above and beyond the linear models that we discussed in the preceding chapters. In this day and age, many datasets, such as those in the two prior chapters, have numerous features. It isn't unreasonable...