Python - Feature Selection - Should I remove bad variables?

Question

I've this code to print the importance of each variable on my model:

importances = trained_model.feature_importances_
std = np.std([trained_model.feature_importances_ for trained_model in trained_model.estimators_], axis=0)
indices = np.argsort(importances)[::-1]

# Print the feature ranking
print("Feature ranking:")

for f in range(training_features.shape[1]):
    print("%d. feature %d (%f)" % (f + 1, indices[f], importances[indices[f]]))

I print a lot of variables with feature ranking as 0.0. Should I remove that variables? I can I do it using Python?

Like this:

df = df.drop('Col_A', 1) WHERE importances[indices[f]] = 0

Thanks!

Answer 1

Assuming your features are df[X] and your target is df[y], I would just do the following:

keepfeatures = X[trained_model.feature_importances_ > 0]
keepfeatures.append(y)

df = df[keepfeatures]