Yes, I was referring to recursive feature elimination. Thanks for the recommendations

Thanks for your response! Even with retaining the top K values of each feature, there are still a large number of features to consider. I haven’t tried the hashing trick, so I will look into that

Hi, I’m trying to build a model with a large number of categorical predictor variables that each have a large number of internal categories. Implementing OHE leads to a higher dimensional dataset than I want to work with. Does anyone have advice for dealing with this other than using subject matter expertise or iteration to perform feature selection? Thanks!