<p dir="auto">Neither <code class="notranslate">RFECV.fit</code> nor <code class="notranslate">GridSearchCV.fit</code> take the parameter <code class="notranslate">sample_weight</code>. Please add this as an optional parameter to both methods. This parameter is useful for unbalanced classification.</p>
<p dir="auto">Currently many of our metrics allow for sample weights, but when using the <code class="notranslate">cross_val_score</code> or <code class="notranslate">GridSearchCV</code> these are not taken into account. As I said on the mailing list, I'm not sure if this is a bug or a feature. It might depend on the domain whether we want to do this or not.<br>
<a class="issue-link js-issue-link" data-error-text="Failed to load title" data-id="65936029" data-permission-text="Title is private" data-url="https://github.com/scikit-learn/scikit-learn/issues/4497" data-hovercard-type="issue" data-hovercard-url="/scikit-learn/scikit-learn/issues/4497/hovercard" href="https://github.com/scikit-learn/scikit-learn/issues/4497">#4497</a> will allow to do this in a more consistent manner.</p>