I wanted to know is there one method of variable selection for algorithms like linear, logistic regression , random forest , support vector machine…or different methods of variable selection depending on the algorithm…
The variable selection is not dependent on the algorithm. You can refer the following article :
Variable Selection Algorithms :
- Filter Methods( Chi squared test, information gain and correlation coefficient scores).
- Wrapper Methods.
- Embedded methods (regularization methods).
Each method has some situations you used for.