While you are at it, I think it would be great to make it possible to pass "chi2" string constant for the `score_func` argument to spare the user an import statement:

```python
>>> from sklearn.datasets import load_iris
>>> from sklearn.feature_selection import SelectKBest
>>> iris = load_iris()
>>> X, y = iris.data, iris.target
>>> X.shape
(150, 4)
>>> X_new = SelectKBest("chi2", k=2).fit_transform(X, y)
>>> X_new.shape
(150, 2)
```

The docstring will need to be updated to give the list of `score_func` values available by default.