Use of Scaler with LassoCV, RidgeCV
<p>I would like to use scikit-learn LassoCV/RidgeCV while applying a 'StandardScaler' on each fold training set. I do not want to apply the scaler before the cross-validation to avoid leakage but I cannot figure out how I am supposed to do that with LassoCV/RidgeCV. </p>

<p>Is there a way to do this ? Or should I create a pipeline with Lasso/Ridge and 'manually' search for the hyperparameters (using GridSearchCV for instance) ?</p>

<p>Many thanks.</p>

<p>I got the answer through the scikit-learn mailing list so here it is: </p>

<p>'There is no way to use the "efficient" EstimatorCV objects with pipelines.
This is an API bug and there's an open issue and maybe even a PR for that.'</p>

<p>Many thanks to Andreas Mueller for the answer.</p>

python machine-learning scikit-learn