<h4 dir="auto">Describe the workflow you want to enable</h4>
<p dir="auto">Can we add a feature in LinearRegression that could remove collinearity (exact collinearity) in the data?.</p>
<h4 dir="auto">Describe your proposed solution</h4>
<p dir="auto">My proposal is to add an extra argument like remove_collinearity if it is set by the user then we can remove exact collinear variables using the rank of the matrix or collinear variables using VIF. This can save some time instead of going for Ridge regression.</p>
<p dir="auto">I wonder whether we should add unsupervised feature selection using correlation. It's a strategy that's very common in statistics and might just have it for completeness.<br>
It's certainly more useful than the variance based one, which I think is useless for any threshold != 0.</p>