I have a dataset after feature selection of around 6500 features and 10,000 data rows. I am using LightGBM model. I want to know if I should check the feature set for multicollinearity. If two or more features are correlated how does it affect the tree building and classification prediction How does LightGBM deal with multicollinearity? Does it have any adverse effects?
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1while a different package, I doubt the answer to this differs much from the xgboost version: Does XGBoost handle multicollinearity by itself? – Ben Reiniger Jun 02 '22 at 16:20
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@BenReiniger As LightGBM handles data differently vie GOSS, and EFB algorithms, I want to know the multicollinearity aspect in regards to LightGBM. I saw the answer that you have linked. – As13 Jun 03 '22 at 04:43