title: is there away to output selected columns names from SelectFromModel method?
body: <p>i performed feature selection using ExtraTreesClassifier and SelectFromModel in data set that loaded as DataFrame, however i want to save these selected feature as DataFrame to csv file while maintaining columns name as well. <strong>note that output is numpy array</strong> return important features whole columns not columns header </p>
  
  <pre><code>import pandas as pd
  from sklearn.ensemble import ExtraTreesClassifier
  from sklearn.feature_selection import SelectFromModel
  import numpy as np
  
  
  df = pd.read_csv('los_10_one_encoder.csv')
  y = df['LOS'] # target 
  X= df.drop('LOS',axis=1) # drop LOS column 
  clf = ExtraTreesClassifier()
  clf = clf.fit(X, y)
  print clf.feature_importances_
  
  model = SelectFromModel(clf, prefit=True)
  X_new = model.transform(X)
  </code></pre>