Forward stepwise using BIC

gistfile1.py

def bic_selection(candidates: set,
                  selected: set = None,
                  prev_ic: int = np.inf,
                  prev_ics: list = None,
                  ic_change_threshold: int = 0):
    if prev_ics is None:
        prev_ics = []
    if selected is None:
        selected = set()

    best_candidate = {"name": "", "bic": np.inf}
    for c in candidates:
        feats = list(selected | {c})
        res = sm.OLS(y_train, sm.add_constant(X_train[feats])).fit()
        if res.bic < best_candidate["bic"]:
            best_candidate = {"name": c, "bic": res.bic}

    if prev_ic - best_candidate["bic"] > ic_change_threshold:
        return bic_selection(
            candidates=candidates - {best_candidate["name"]},
            selected=selected | {best_candidate["name"]},
            prev_ic=best_candidate["bic"],
            prev_ics=[*prev_ics, best_candidate["bic"]],
            ic_change_threshold=ic_change_threshold
        )
    else:
        return list(selected), np.array(prev_ics)