I'm not able to find the right answer in Applied Predictive Modelling or Caret documentation but maybe you guys could help.
What would be the right way of doing RFE on a highly imbalanced classification problem so that the procedure could learn well patterns describing the minority class? The problem I facing right now is that with 5:95 target class ratio the outcome of RFE is not really representative of the patterns that I'm trying to discover. I couldn't find any possibility to use upsamling in the rfe function itself. Is there another way of doing that?