I am applying the feature selection method, RFE (recursive feature elimination), from scikit-learn to a dataset. I do not have any pre-determined number of features for RFE and would rather get the number from data itself.
So far, I applied range of number of features, 1 to 10, for training data. For evaluation, I use the F1 from prediction outcome using the features from RFE. For serialization, I plan to use the number of features that provided the best F1.
What other methods may be used to determine the number of features for RFE? Thanks!