J.P. Morgan Interview Question

how to select variables to put in the model.

Interview Answer

Anonymous

Nov 29, 2017

There are various techniques that can be used. 1. Check for correlated variables and can remove one of them. 2. Lasso regression can be used. 3. Subset selection methods like Best subset selection, forward selection, backward selection or hybrid selection methods can be used. 4. Dimension reduction techniques like Principal Component Analysis and Partial Least square