Python sklearn - how to calculate p-values
You can use statsmodels
import statsmodels.api as sm
logit_model=sm.Logit(y_train,X_train)
result=logit_model.fit()
print(result.summary())
The results would be something like this
Logit Regression Results
==============================================================================
Dep. Variable: y No. Observations: 406723
Model: Logit Df Residuals: 406710
Method: MLE Df Model: 12
Date: Fri, 12 Apr 2019 Pseudo R-squ.: 0.001661
Time: 16:48:45 Log-Likelihood: -2.8145e+05
converged: False LL-Null: -2.8192e+05
LLR p-value: 8.758e-193
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
x1 -0.0037 0.003 -1.078 0.281 -0.010 0.003
Just run the significance test on X, y
directly. Example using 20news and chi2
:
>>> from sklearn.datasets import fetch_20newsgroups_vectorized
>>> from sklearn.feature_selection import chi2
>>> data = fetch_20newsgroups_vectorized()
>>> X, y = data.data, data.target
>>> scores, pvalues = chi2(X, y)
>>> pvalues
array([ 4.10171798e-17, 4.34003018e-01, 9.99999996e-01, ...,
9.99999995e-01, 9.99999869e-01, 9.99981414e-01])