I have 36 categorical variables, 11 binary and other with more than 2 levels. I wanted to check if they are independent or not, so I want to do Chi-square test of independence. Problem is I believe Chi-Square is a pairwise test and that means lot of tests for 36 pairs. Is there any way we can have matrix similar to correlation matrix that we get for continuous variables.
Also, please advise on second question: even if variable is dependent as per chi-square test, should I still carry on with other feature selection methods like what is suggested in below paper before I decide to drop any variable? http://jmlr.csail.mit.edu/papers/volume3/guyon03a/guyon03a.pdf
P.S. I am doing this in R