transferwise / hisel

Feature selection tool based on Hilbert-Schmidt Independence Criterion
Apache License 2.0
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Categorical X variable - Test and demo #18

Closed claudio-tw closed 1 year ago

claudio-tw commented 1 year ago

Context

This PR adds examples and test for the case where the input variable X is discrete. Despite the fact that the implementation could support the generation of the gram matrix using the delta kernel, tests suggest that the selection is more accurate when the gram matrix is generated with an RBF kernel. This seems to be confirmed by the literature.

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