[WIP] Added SelectFromModelCV #14102
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Are you still working on this? Do you want reviews? Generally this seems like a reasonable idea, I think. I'm not sure how this would work within a pipeline (which is also an issue with other EstimatorCV objects). |
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Indeed I was looking for reviews, but now I moved on and I am not working on this anymore. Note that the feature itself is working, it just requires a little effort to integrate it properly (tests, doc, ...) that I unfortunately cannot do for the moment. |
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@H4dr1en no worries. Thanks for the quick reply! |
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What does this implement/fix? Explain your changes.
This PR implements
SelectFromModelCV, bringing the equivalent of whatRFECVis toRFE.This addresses the need of having a cross validation of feature importances for estimators having no intrinsic cross validation like
LassoCVor eli5'sPermutationImportance.Any other comments?
I'll add doc and tests if you are interested in continuing with the integration of this feature.