Two source code files of the mRMR (minimum-redundancy maximum-relevancy) feature selection method in (Peng et al, 2005 and Ding & Peng, 2005, 2003), whose better performance over the conventional top-ranking method has been demonstrated on a number of data sets in recent publications. This version uses mutual information as a proxy for computing relevance and redundancy among variables (features). Other variations such as using correlation or F-test or distances can be easily implemented within this framework, too.

Hanchuan Peng, Fuhui Long, and Chris Ding, "Feature selection based on mutual information: criteria of max-dependency, max-relevance, and min-redundancy,"
IEEE Transactions on Pattern Analysis and Machine Intelligence,
Vol. 27, No. 8, pp.1226-1238, 2005.

Ding C., and Peng HC, "Minimum redundancy feature selection from microarray gene expression data," Journal of Bioinformatics and Computational Biology,
Vol. 3, No. 2, pp.185-205, 2005.

Ding, C and Peng HC, Proc. 2nd IEEE Computational Systems Bioinformatics Conference (CSB 2003),
pp.523-528, Stanford, CA, Aug, 2003.

** Note that you need to download the mutual information computing toolbox of the same author. ***