sklearn.feature_selection
.f_regression¶
- sklearn.feature_selection.f_regression(X, y, *, center=True, force_finite=True)[source]¶
Univariate linear regression tests returning F-statistic and p-values.
Quick linear model for testing the effect of a single regressor, sequentially for many regressors.
This is done in 2 steps:
The cross correlation between each regressor and the target is computed using
r_regression
as:E[(X[:, i] - mean(X[:, i])) * (y - mean(y))] / (std(X[:, i]) * std(y))
It is converted to an F score and then to a p-value.
f_regression
is derived fromr_regression
and will rank features in the same order if all the features are positively correlated with the target.Note however that contrary to
f_regression
,r_regression
values lie in [-1, 1] and can thus be negative.f_regression
is therefore recommended as a feature selection criterion to identify potentially predictive feature for a downstream classifier, irrespective of the sign of the association with the target variable.Furthermore
f_regression
returns p-values whiler_regression
does not.Read more in the User Guide.
- Parameters:
- X{array-like, sparse matrix} of shape (n_samples, n_features)
The data matrix.
- yarray-like of shape (n_samples,)
The target vector.
- centerbool, default=True
Whether or not to center the data matrix
X
and the target vectory
. By default,X
andy
will be centered.- force_finitebool, default=True
Whether or not to force the F-statistics and associated p-values to be finite. There are two cases where the F-statistic is expected to not be finite:
when the target
y
or some features inX
are constant. In this case, the Pearson’s R correlation is not defined leading to obtainnp.nan
values in the F-statistic and p-value. Whenforce_finite=True
, the F-statistic is set to0.0
and the associated p-value is set to1.0
.when the a feature in
X
is perfectly correlated (or anti-correlated) with the targety
. In this case, the F-statistic is expected to benp.inf
. Whenforce_finite=True
, the F-statistic is set tonp.finfo(dtype).max
and the associated p-value is set to0.0
.
New in version 1.1.
- Returns:
- f_statisticndarray of shape (n_features,)
F-statistic for each feature.
- p_valuesndarray of shape (n_features,)
P-values associated with the F-statistic.
See also
r_regression
Pearson’s R between label/feature for regression tasks.
f_classif
ANOVA F-value between label/feature for classification tasks.
chi2
Chi-squared stats of non-negative features for classification tasks.
SelectKBest
Select features based on the k highest scores.
SelectFpr
Select features based on a false positive rate test.
SelectFdr
Select features based on an estimated false discovery rate.
SelectFwe
Select features based on family-wise error rate.
SelectPercentile
Select features based on percentile of the highest scores.
Examples using sklearn.feature_selection.f_regression
¶
Feature agglomeration vs. univariate selection
Comparison of F-test and mutual information