Describe your process for feature selection in a high-dimensional dataset.
Instruction: Explain how you identify and select the most relevant features for your model.
Context: This question tests the candidate's ability to handle high-dimensional data and select features that are most informative for the task at hand.
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I start feature selection by removing obvious problems first: leakage, duplicated signals, unstable fields, and features that will not exist reliably at inference time. There is no value in sophisticated selection on top of a broken feature set.
After that,...