Concept map: Multicollinearity
Prerequisites (two levels) and direct dependents of Multicollinearity. Show everything
- 3prerequisites shown
- 1direct dependents
- 2lessons use it
Insights 9
- Do not read lasso's choice among correlated features as evidence that the others do not matter
- Interpret predictions, not individual coefficients, when features are strongly collinear
- Group correlated features before reading SHAP rankings
- Cluster correlated features before trusting permutation importance
- Switch from PDP to ALE when the feature of interest is strongly correlated with others
- Permute within strata when a feature is largely determined by a grouping variable
- Cap polynomial expansion degree and regularize, because generated features grow combinatorially
- Drop one dummy level for unpenalized linear regression, keep all levels for penalized models and trees
Projects 6
- Cost-sharing and doctor visits: pricing plan tiers from a randomized insurance experiment
- District math results: a binomial model that separates context from performance
- Predicting one-year diabetes progression with an honest error estimate: nested CV on 442 patients
- Probability of default for a card portfolio: calibrated, monotone, explainable and audited
- Yield-failure screening from 590 sensor signals: feature selection without fooling yourself
- Route-day passenger backtest and the capacity/price what-if: forecasts are not causal answers
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