Unlike traditional statistical methods, Conformal Prediction (CP) allows for the determination of valid and accurate confidence levels associated with individual predictions based only on exchangeability of the data. We here introduce a new feature selection method that takes advantage of the CP framework. Our proposal, named Conformal Recursive Feature Elimination (CRFE), identifies and recursively removes features that increase the non-conformity of a dataset. We also present an automatic stopping criterion for CRFE, as well as a new index to measure consistency between subsets of features. CRFE selections are compared to the classical Recursive Feature Elimination (RFE) method on several multiclass datasets by using multiple partitions of the data. The results show that CRFE clearly outperforms RFE in half of the datasets, while achieving similar performance in the rest. The automatic stopping criterion provides subsets of effective and non-redundant features without computing any classification performance.
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