Provide standard error of mean (scipy.stats.sem) for feature importances in `BaseRecursiveSelector`

[jolespin]

Is your feature request related to a problem? Please describe.
I really like that the feature importances include the mean of the cross-validation. Could you also provide SEM from scipy.stats too? This would be good for getting a sense of the spread across different splits.

Describe the solution you'd like
See above

Describe alternatives you've considered
I'm currently making a custom class and reimplementing the fit method to have this feature.

Additional context
NA

[solegalli]

Yes, we should do that. Thanks for raising the issue!