PatientLevelPrediction
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Group shinkage (e.g. group lasso) during variable selection
Does a prediction model with variable selection procedure (e.g. lasso regression) consider group shinkage (e.g. group lasso)? For example, if a categorical variable with C levels is converted to C-1 binary features (i.e. dummy variables), it would make more sense that all C-1 variables are kept or removed after variable selection.
The current lasso logistic regression we use has group lasso but it is still being tested. Hopefully it will be added this year.