Feature Elimination in Kernel Machines in moderately high dimensions

Sayan Dasgupta, Yair Goldberg, Michael Kosorok

Published 2013-04-18, updated 2015-12-24Version 2

We develop an approach for feature elimination in statistical learning with kernel machines, based on recursive elimination of features.We present theoretical properties of this method and show that it is uniformly consistent in finding the correct feature space under certain generalized assumptions.We present four case studies to show that the assumptions are met in most practical situations and present simulation results to demonstrate performance of the proposed approach.