[BUG] User-Specified Threshold for CollinearityThreshold is not Applied.

[zdanaceau]

Hey, I was looking through the code for ColinearityThreshold for a similar method I've been putting together and I noticed that in _recursive_collinear_elimination, the user specified collinearity threshold is not propagated into the while loop. I've highlighted the issue with my comment below:

def _recursive_collinear_elimination(association_matrix, threshold):
    dum = association_matrix.copy()
    most_collinear_features = []
    most_collinear_feature, to_drop = _most_collinear(association_matrix, threshold)
    most_collinear_features.append(most_collinear_feature)
    dum = dum.drop(columns=most_collinear_feature, index=most_collinear_feature)

    while len(to_drop) > 1:
        most_collinear_feature, to_drop = _most_collinear(dum, 0.75) # Should be threshold instead of 0.75
        most_collinear_features.append(most_collinear_feature)
        dum = dum.drop(columns=most_collinear_feature, index=most_collinear_feature)
    return most_collinear_features

Thanks for this fantastic package by the way.

[ThomasBury]

Hi @zdanaceau , thank you for the kind words and for pointing out the bug! I'll patch it asap