Does a prediction model with variable selection procedure (e.g. lasso regression) consider group shinkage (e.g. group lasso)? For example, if a categorical variable with C levels is converted to C-1 binary features (i.e. dummy variables), it would make more sense that all C-1 variables are kept or removed after variable selection.
Does a prediction model with variable selection procedure (e.g. lasso regression) consider group shinkage (e.g. group lasso)? For example, if a categorical variable with C levels is converted to C-1 binary features (i.e. dummy variables), it would make more sense that all C-1 variables are kept or removed after variable selection.