title: Python sklearn - how to calculate p-values
body: <p>This is probably a simple question but I am trying to calculate the p-values for my features either using classifiers for a classification problem or regressors for regression. Could someone suggest what is the best method for each case and provide sample code? I want to just see the p-value for each feature rather than keep the k best / percentile of features etc as explained in the documentation.</p>
  
  <p>Thank you</p>