Instruction: Describe techniques for feature selection and their importance in model building.
Context: This question evaluates the candidate's ability to perform feature selection, a crucial step in the data preprocessing phase.
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I usually start feature selection by removing obvious problems before I worry about rankings. That means looking for leakage, duplicated information, unstable fields, features that will not exist reliably at inference time, and variables with so much missingness or noise that they are more...