I'm trying to pair RFECV with permutation importance. I would like to use the non-cv version of the permutation importance computation. I tried several approaches but I get always a NotFittedError for the estimator_func while trying to fit the rfecv. Am I missing something? PermutationImportance is from Eli5 since the sklearn version doesn't provide feature importance.
When I pair RFECV with CV- PermutationImportance, everything works fine, but I would like to have the non-cv version.
estimator_funct = estimator_funct.fit(extract_relevant_features, choosen_target)
pi = PermutationImportance(estimator_funct, scoring='r2', n_iter=10, random_state=1).fit(extract_relevant_features, choosen_target)
rfecv = RFECV(
estimator=pi,
step=1,
cv=cv_func,
scoring=score,
min_features_to_select=min_features_to_select,
)
rfecv.fit(extract_relevant_features,
choosen_target,
groups=extract_relevant_features.index)
