Given an external estimator that assigns weights to features (e.g., the

is to select features by recursively considering smaller and smaller sets of

features. First, the estimator is trained on the initial set of features and

the importance of each feature is obtained either through any specific attribute

(such as ``coef_``, ``feature_importances_``) or callable. Then, the least important

repeated on the pruned set until the desired number of features to select is

eventually reached.