Conformal Recursive Feature Elimination

arXiv:2405.19429v1 Announce Type: new
Abstract: Unlike traditional statistical methods, Conformal Prediction (CP) allows for the determination of valid and accurate confidence levels associated with individual predictions based only on exchangeability of the data. We here introduce a new feature selection method that takes advantage of the CP framework. Our proposal, named Conformal Recursive Feature Elimination (CRFE), identifies and recursively removes features that increase the non-conformity of a dataset. We also present an automatic stopping criterion for CRFE, as well as …

abstract arxiv confidence cs.cv data feature feature selection framework prediction predictions proposal recursive statistical type