<h4 dir="auto">Describe the workflow you want to enable</h4>
<p dir="auto">Current score_func for feature selection methods does not consider multicollinearity between features.</p>
<h4 dir="auto">Describe your proposed solution</h4>
<p dir="auto">Introduce mRMR (Minimum Redundancy and Maximum Relevance) score as score_func for feature selection methods.</p>
<p dir="auto">Variant of mRMR scores in a nutshell:</p>
<ul dir="auto">
<li>MID: Mutual Information to target - Mutual Information between features</li>
<li>MIQ: Mutual Information to target / Mutual Information between features</li>
<li>FCD: F Statistic to target - Correlation between features</li>
<li>FCQ: F Statistic to target / Correlation between features</li>
</ul>
<p dir="auto">From what I understand Mutual Information and F Statistic already implemented as score_func in scikit-learn, so these mRmR scores are somewhat an extension of it.</p>
<p dir="auto">Speaking with <a class="user-mention notranslate" data-hovercard-type="user" data-hovercard-url="/users/jorisvandenbossche/hovercard" data-octo-click="hovercard-link-click" data-octo-dimensions="link_type:self" href="https://github.com/jorisvandenbossche">@jorisvandenbossche</a> IRL, we come to discuss about the mRMR feature selection among other methods.</p>
<p dir="auto"><a class="issue-link js-issue-link" data-error-text="Failed to load title" data-id="110554786" data-permission-text="Title is private" data-url="https://github.com/scikit-learn/scikit-learn/issues/5372" data-hovercard-type="pull_request" data-hovercard-url="/scikit-learn/scikit-learn/pull/5372/hovercard" href="https://github.com/scikit-learn/scikit-learn/pull/5372">#5372</a> intended at first to implement the mRMR with mutual information as a metric. However, it has been merged such that mutual information could be used in the <code class="notranslate">SelectKBest</code> class. It was also discuss that the mRMR mechanism could be implemented in a separate PR with the possibility to plug any metric.</p>
<p dir="auto">Therefore, I was wondering if scikit-learn will be interested to have this transformer to perform feature selection.</p>
<p dir="auto">I would be interested to know the different opinions<br>
<a class="user-mention notranslate" data-hovercard-type="user" data-hovercard-url="/users/agramfort/hovercard" data-octo-click="hovercard-link-click" data-octo-dimensions="link_type:self" href="https://github.com/agramfort">@agramfort</a> <a class="user-mention notranslate" data-hovercard-type="user" data-hovercard-url="/users/MechCoder/hovercard" data-octo-click="hovercard-link-click" data-octo-dimensions="link_type:self" href="https://github.com/MechCoder">@MechCoder</a> <a class="user-mention notranslate" data-hovercard-type="user" data-hovercard-url="/users/jnothman/hovercard" data-octo-click="hovercard-link-click" data-octo-dimensions="link_type:self" href="https://github.com/jnothman">@jnothman</a> <a class="user-mention notranslate" data-hovercard-type="user" data-hovercard-url="/users/GaelVaroquaux/hovercard" data-octo-click="hovercard-link-click" data-octo-dimensions="link_type:self" href="https://github.com/GaelVaroquaux">@GaelVaroquaux</a> <a class="user-mention notranslate" data-hovercard-type="user" data-hovercard-url="/users/amueller/hovercard" data-octo-click="hovercard-link-click" data-octo-dimensions="link_type:self" href="https://github.com/amueller">@amueller</a> <a class="user-mention notranslate" data-hovercard-type="user" data-hovercard-url="/users/jorisvandenbossche/hovercard" data-octo-click="hovercard-link-click" data-octo-dimensions="link_type:self" href="https://github.com/jorisvandenbossche">@jorisvandenbossche</a></p>