Univariate feature selection works by selecting the best features based on univariate statistical tests.
FDR and FWE are a popular univariate statistical test for feature selection.
In 2005, the Benjamini and Hochberg paper on FDR was identified as one of the 25 most-cited statistical papers. The FDR uses the Benjamini-Hochberg procedure in this PR. https://en.wikipedia.org/wiki/False_discovery_rate.
In statistics, FWE is the probability of making one or more false discoveries, or type I errors, among all the hypotheses when performing multiple hypotheses tests.
We add FDR and FWE methods for ChiSqSelector in this PR, like it is implemented in scikit-learn.