title: How does the SelectPercentile score function work?
body: <p>Recently I am studying Dimension Reduction methods and I found that the python package &quot;sklearn.feature_selection&quot; seems pretty useful, but the problem is the method SelectPercentile.fit doesn't explain how it calculates the score function.</p>
  <p><a href="http://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.SelectPercentile.html#sklearn.feature_selection.SelectPercentile.fit" rel="nofollow noreferrer">link</a></p>
  <p>Does anyone know how it works?</p>
  <p>For instance, if I select &quot;SelectFdr&quot; for &quot;SelectPercentile&quot;, and the SelectFdr method's criterion is depending on each p-value of each feature.  How do I know which ways does &quot;SelectFdr&quot; sets hypothesis or defines error rates?</p>
  <p>SelectFdr method which subscription is &quot;Select features based on an estimated false discovery rate.&quot;  So it must be using some classification methods at first, so it can calculate the false discovery rate, my problem is what classification method is in &quot;SelectPercentile&quot;.</p>