Abstract:Feature selection remains difficult in modern high-dimensional settings, and established methods such as Boruta and Recursive Feature Elimination are either computationally costly or lack a statistically justified stopping criterion for their importance scores. A common heuristic adds random noise features and retains any predictor ranking above the strongest one, but this rule is purely ad hoc. We introduce a method that keeps the noise-augmentation idea while grounding it in theory: each feature's importance is tested against the maximum noise importance using a non-parametric bootstrap hypothesis test, with statistical derivations supporting the algorithm's design. On controlled simulations, the method recovers true signal more consistently than Boruta and Knockoff-based procedures; on diverse real-world datasets, it outperforms Boruta, RFE, and Extra Trees. The result is a robust, principled selector that yields reliable inference, improved prediction, and efficient computation.
From: Mousam Sinha [view email]
[v1]
Tue, 25 Nov 2025 20:57:00 UTC (1,193 KB)
[v2]
Sat, 29 Nov 2025 20:18:54 UTC (1,194 KB)
[v3]
Sat, 1 Aug 2026 19:02:05 UTC (1,194 KB)
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