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Example: Limit is 4 columns iter 1: Temperature N, Voltage N (keep both: 2 vars) |
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For situations with lots of variables and low memory, for example lags from an high frequency time series and exogenous variables, it's possible to go though each column one by one in an ordered manner, select the most important variables until a column limit is met.
Can this be achieved with Sklearn's F-regression?
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