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We should decorrelate XGBoost features after loading and prior to modeling #27

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mmcdermott opened this issue Jun 13, 2024 · 0 comments
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Modeling For model and hyperparameter tuning related tasks

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@mmcdermott
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mmcdermott commented Jun 13, 2024

We should support the options of:

  • code/count -> event/count (once across all codes) & code/proportion_of_events (instead of the count of code occurrences, count of event occurrences and the proportion of event occurrences that are codes).
  • value/count -> value/proportion_of_code (instead of the count of code occurrences with value, which is correlated with the code count, offer the proportion of code occurrences that have a value)
  • value/sum -> value/mean (instead of the sum of the values, the mean of the values)
  • value/sum_sqd -> value/variance (instead of the sum of the squares of the values, the variance of the values)
  • Orthogonally, we should support decorrelating across window sizes, such that instead of having window sizes of [-7d, 0d] and [-1d, 0d], which are both mechanistically correlated as the second, shorter window is included in the first, larger window, we could construct windows of [-7d, -1d), [-1d, 0d] which are not mechanistically correlated.
@mmcdermott mmcdermott added the Modeling For model and hyperparameter tuning related tasks label Jun 13, 2024
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