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Is there a documentation, paper etc. where it is explained why scikit-learn does not provide p-values/confidence levels (1, 2, 3, 4)? Note: I'm not asking about opinions, but about documentation. For example the R package lme4 does not provide p-values either, but has a FAQ point about this. On the official scikit-learn website I found no explanation for this desicion.

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There is a scoring function in sklearn package which is used in a feature selection procedure. This function first computes F-score and then converts it to p-value.

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