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Why statistical model significance test seldom seen in feature selection of Machine learning?

Discussion in 'Education' started by Shaowu, Oct 8, 2018.

  1. Shaowu

    Shaowu Guest

    Background


    What I learned from the regression class in statistics told me that in order to remove a feature, or several features, we need to run a statistical significan test by checking the $F$-test related to explained variance by extra parameters and see if they are redundant.

    However, in machine learning community, people tend to use LASSO or other penalty based on $l_1$ regularization.

    Question


    I can see LASSO, or optimization-style are more direct in providing the final result, and it finds all at once, of them instead of repeated, multiple-steps, ANOVA-like, statistics-style method.

    But is there any advantage of the later ones?

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