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My data df_X has 11 features and y is multi-class label. I used multi-class SVM to select importance of features. estimator_.coef_ should return the score of each feature. But why here it returns a list of scores? The same case occured for multi-class LogisticRegression().

By the way, what's the difference between SelectKBest and SelectFromModel for feature selection in sklearn.

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  • $\begingroup$ Do you have 11 classes? $\endgroup$
    – Sycorax
    Commented Jan 5, 2023 at 15:32
  • $\begingroup$ @Sycorax no, the classes in samples are 3,4,5,6,7,8. $\endgroup$ Commented Jan 6, 2023 at 1:52

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