[newrotik]

check scikit-learn feature selection utilities https://scikit-learn.org/stable/modules/feature_selection.ht...

besides techniques mentioned in other posts (l1 regularization) sequential feature selection (backward and forward) is quite common

[disgruntledphd2]

> equential feature selection (backward and forward) is quite common

This is fine if you have test/validation sets, but never, ever report p-values on the result of such a selection process, as they are incredibly biased.