A method selects features used in continuous-valued regression analysis. Training data input to the method includes features and corresponding target values, wherein the target values are continuous, and there is one target value for each feature. Each threshold value is thresholded and discretized with respect to a threshold value to produce a discretized target value. Then, categorical feature selection is applied to the features, using the discrete target values, to produces selected features. The selected values can be used in any regression analysis.