I am using different feature selection methods for a regression problem in order to rank the features according to their importance. So far I have used
scikit-learn methods f_regression and mutual_info_regression. From statistical methods I have used Pearson and Spearman correlation coefficients. In addition, I have implemented RReliefF method for regression targets. All these methods are able to rank features according to weights/scores.
Are there any additional methods which would be suitable for regression problems?