SelectKBest

What is SelectKBest?

SelectKBest is one of the most commonly used feature selection methods. SelectKBest is a type of filter-based feature selection method in machine learning.

SelectKBest uses statistical tests like chi-squared test, ANOVA F-test, or mutual information score to score and rank the features based on their relationship with the output variable. Then, it selects the K features with the highest scores to be included in the final feature subset.

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Syntax

SelectkBest = SelectKBest(f_classif, k=3)

SelectKBest has 2 parameters: score function & number of fetures(k)

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Score function

Score function is used to evaluate the feature importance. We have different types of score functions.

Some of the commonly used score_func functions in SelectKBest:

1. f_regression: It is used for linear regression problems and computes F-value between feature and target.

2. mutual_info_regression: It is used for regression problems and computes mutual information between two random variables.

3. f_classif: It is used for classification problems and computes ANOVA F-value between feature and target.

4. mutual_info_classif: It is used for classification problems and computes mutual information between two discrete variables.

5. chi2: It is used for classification problems and computes chi-squared statistics between each feature and target.

6. SelectPercentile: It is used to select the highest X% of the features based on the score_func.

How to select the right score function?

For regression, the most commonly used scoring functions are f_regression and mutual_info_regression

For classification, the most commonly used scoring function is chi_2, mutual_info_classif and f_classif

chi_2

chi_2: It is used to test the independence between two categorical variables. In feature selection, it computes the chi-squared statistic between each feature and the target variable. Features that are highly correlated with the target variable will have higher scores.

mutual_info_classif

mutual_info_classif: It is based on the concept of mutual information, which measures the amount of information shared between two variables. It computes the mutual information between each feature and the target variable. Features that are highly informative with respect to the target variable will have high scores.

f_classif

f_classif: It is based on ANOVA (analysis of variance). It computes the F-value between each feature and the target variable, which measures the linear dependency between two variables. Features that are highly dependent on the target variable will have high scores.

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Commands

Import skb

from sklearn.feature_selection import SelectKBest

Import regression

Regression object

Amount of fetures to select

Transform data