On 02/13/2015 01:04 AM, Sebastian Raschka wrote:
>> It has it's own scoring function.
> Is this documented somewhere? I only found "Select features according to the 
> k highest scores." (at 
> http://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.SelectKBest.html#sklearn.feature_selection.SelectKBest)
>  which could maybe a little bit extended.

There should be a see also section pointing to f_classif and f_regression.

The user guide could also use some extension:
http://scikit-learn.org/dev/modules/feature_selection.html#univariate-feature-selection

PR welcome ^^ (opened 
https://github.com/scikit-learn/scikit-learn/issues/4263)

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