I'm not even sure this is an issue worth mentioning, but thought I'd put it here in case anyone else ran into it. If you're specifying that SVC be used as the 'estimator' for RFECV and you have the SVC 'kernel' set to 'rbf', you'll get: "ValueError: coef_ is only available when using linear kernel". I haven't tested this with any other kernel setting like poly or sigmoid (my model is still running as I type this) but I imagine it would happen with anything where kernel != linear.