A novel information theory method for filter feature selection

In this paper, we propose a novel filter for feature selection. Such filter relies on the estimation of the mutual information between features and classes. We bypass the estimation of the probability density function with the aid of the entropic-graphs approximation of Rényi entropy, and the subsequent approximation of the Shannon one. The complexity of such bypassing process does not depend on the number of dimensions but on the number of patterns/samples, and thus the curse of dimensionality is circumvented. We show that it is then possible to outperform a greedy algorithm based on the maximal relevance and minimal redundancy criterion. We successfully test our method both in the contexts of image classification and microarray data classification.