If we have many features (explanatory variables), it is tempting to include them all in our model. However, we then run the risk of overfitting—getting a model that works very well for the training data and very badly for unseen data. Not only that, but the model is bound to be relatively slow and require a lot of memory. We have to weigh accuracy (or an other metric) against speed and memory requirements.
We can try to ignore features or create new better compound features. For instance, in online advertising, it is common to work with ratios, such as the ratio of views and clicks related to an ad. Common sense or domain knowledge can help us select features. In the worst-case scenario, we may have to rely on correlations or other statistical methods. The scikit-learn library offers the RFE class (recursive feature elimination), which can automatically select features. We will use this class in this recipe. We also need an external estimator. The RFE class...