Feature selection using e-values

In the context of supervised learning, we introduce the concept of e-value. An e-value is a scalar quantity that represents the proximity of the sampling distribution of parameter estimates in a model trained on a subset of features to that of the model trained on all features (i.e. the full model). Under general conditions, a rank ordering of e-values separates models that contain all essential features from those that do not. For a p-dimensional feature space, this requires fitting only the full model and evaluating p+1 models, as opposed to the traditional requirement of fitting and evaluating 2^p models.The above e-values framework is applicable to a wide range of parametric models. We use data depths and a fast resampling-based algorithm to implement a feature selection procedure, providing consistency results. Through experiments across several model settings and synthetic and real datasets, we establish that the e-values can be a promising general alternative to existing model-specific methods of feature selection.