How does multicollinearity affect feature selection?

  • It affects the accuracy of the model
  • It causes unstable parameter estimates
  • It makes the model less interpretable
  • It results in high variance of the model
Multicollinearity, which refers to the high correlation between predictor variables, can affect feature selection by causing unstable estimates of the parameters. This instability can lead to strange and unreliable predictions, making the feature selection process less accurate.
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