Feature selection and sliding window validation
Hi,
I want to apply FS since I have lots of features. I first split the whole dataset into training and test set. the testset remains unseen till the very end of the process. For the training set, in order to avoid overfitting I want to use 10 sliding windows (since it is a time series, it is more appropriate than 10 fold Xvalidation). The sliding window validation shall be conducted within the feature selection operator. How does the feature selection works? Does it for each of the 10 validation take the best features and puts them all together after the process or how does it work?
Thanks in advance
Daniel
I want to apply FS since I have lots of features. I first split the whole dataset into training and test set. the testset remains unseen till the very end of the process. For the training set, in order to avoid overfitting I want to use 10 sliding windows (since it is a time series, it is more appropriate than 10 fold Xvalidation). The sliding window validation shall be conducted within the feature selection operator. How does the feature selection works? Does it for each of the 10 validation take the best features and puts them all together after the process or how does it work?
Thanks in advance
Daniel