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I have a dataset with parameters (features) a,b,c, etc. We need to develop a model to predict a (our target).

b is correlated with a significantly (85%) and I suspect linear dependence. c is a measurement of b in another depth, so it has a high correlation with b and good correlation with a. Also, there are a bunch of other parameters (numerical features) whose dependence of a in non-linear (from background knowledge and box plot analysis). These features don't have a high correlation with a but have effect on a.

I am building a model to predict a based on the knowledge above. I think that a multi linear regression cannot be a good idea because of non-linear dependecies. On the other hand, b is a strong predictor of a and depend on a linearly. Therefore, I need to ensemble both linear regression and other methods (e.g., random forest) in a single model to have advantages of both.

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    $\begingroup$ Since you need to map linear and non linear features to the target variable, I think you could try using a simple neural network to model this kind of a relationship. $\endgroup$ – Ankita Talwar Sep 23 '20 at 16:32
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    $\begingroup$ If some features cause non-linear dependence, maybe polynomial regression? Or some feature engineering to make relationship more linear. $\endgroup$ – kate-melnykova Sep 23 '20 at 18:03
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    $\begingroup$ why a is in both place ? feature and response ? $\endgroup$ – user702846 Sep 24 '20 at 12:29
  • $\begingroup$ @user702846, It's just response (target). which sentence has confused you? $\endgroup$ – Amir Ch Sep 24 '20 at 14:52
  • $\begingroup$ @AmirCh so the response (target) is also a feature ? both are noted with 'a' $\endgroup$ – user702846 Sep 25 '20 at 8:49
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The simple answer is to experiment.

You did a quite detailed analysis of the relations between your features and response variable and that's definitely a good idea, but don't be afraid to experiment with various models, even those which don't seem perfectly adapted to the task. Why? Because the one thing that such an analysis by individual features doesn't show is the patterns which happen with combinations of features, and that's what most ML algorithms are usually good at finding. This is why one often finds surprisingly good results with methods expected to perform poorly.

So my advice is to start with a range of simple methods known to be quite robust, for instance Random Forest, SVM, logistic (or even linear) regression. A good strategy is to start with simple methods and then try to improve on that based on analyzing the results. For example a more advanced approach would be to use ensemble learning: train different types of models and then a meta-model which relies on their predictions.

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