Feature Selection and Interpretable Feature Transformation: A Preliminary Study on Feature Engineering for Classification Algorithms

This paper explores the limitation of consistency-based measures in the context of feature selection. These kinds of filters are not very widespread in large-dimensionality problems. Typically, the number of selected of attributes is very small and the ability to do right predictions is a drawback. The principal contribution of this work is the introduction of a new approach within feature engineering to create new attributes after the feature selection stage. The experimentation on multi-class problems with a feature space in the order of tens of thousands shed light on that some improvements took place with the new proposal. As a final insight, some new relationships were discovered due to the combined application of feature selection and feature transformation. Additionally, a new measure for classification problems which relates the number of features and the number of classes or labels is also proposed.