What is the standard or what method do you use to select part of features.
For ex: Using random forest, I got the following feature importances:
a : 25.4884726 b : 17.2736393 c : 12.3493490 d : 8.9383737 e : 8.1083837 f : 6.8272717 g : 4.1999999 ... ... ...
For final prediction, you need to select only few features from the above. How do you decide the following:
- No. of features that you choose?
- Does the score matter when you choose?