Feature Selection? You Are Probably Doing It Wrong

… unless you are using this Python package

A fancy pic about cherry picking (copyright Shutterstock)

I bet that, out there, 99% of feature-selection is carried out in a “SelectFromModel” mode (name coming from Scikit-learn’s SelectFromModel), which works like this:

1. you choose a predictive model (let’s call it WhatevBoost);
2. you fit WhatevBoost on all your…