Advantages of MRMR
I chose MRMR selection for the first selection and then forward
selection as further selection for my model. Now I want to justify my
choice.
So far, I would say MRMR is not expensive in compution
time and therefor good for a first selection (150 variables). And it is
better as other filter methods (also computional inexpensive methods) as
e.g select by weight by correlation /information gain
because it adresses the interferance of variables amongst each other.What do you think of my reasoning? Is there an advantage of the MRMR algorithm I missed? Are there any recommondations where it is likely to use?
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Thank you very much! Nice graph!:)
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Altair EmployeeHi @norita ,
for me there is a tradeoff between the runtime/complexity of the algorithm. I quickly drew how i think the power/rumtime tradeoff looks like
So MRMR is actually a nice tradeoff here. But you are right it is not perfect. I also often use it as a pre-filter to go down to a handable sample size first.
Cheers,
Martin
So MRMR is actually a nice tradeoff here. But you are right it is not perfect. I also often use it as a pre-filter to go down to a handable sample size first.