I read that some techniques of feature selection, like backward feature elemination use p-values of different features. But how is this p-value claculated ? I searched this question a lot and just got the information of the null hypothesis (the feature is not significant) and alternate hypothesis (the feature is significant), which was obvious.
So my question is how are these p-values calculated ? Is this done using the coefficients which we get after training the model ? If yes , then which test is used to get p-value?