While working on a data set, how do you select important variables? Explain your methods.

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Following are the methods of variable selection you can use:

  1. Remove the correlated variables prior to selecting important variables
  2. Use linear regression and select variables based on p values
  3. Use Forward Selection, Backward Selection, Stepwise Selection
  4. Use Random Forest, Xgboost and plot variable importance chart
  5. Use Lasso Regression
  6. Measure information gain for the available set of features and select top n features accordingly.