In addition to
randomForest, and assessing multicollinearity among potential predictor variables, I am seeking other methods of variable selection in lieu of using stepwise methods for building more parsimonious binary logistic regression models from a wide array of potential predictor variables. I have done some research into other methods such as Mutual Information (MI), and I have two questions in regards to its use:
1) Has anyone used MI for binary logistic regression variable selection? If so, what are your thoughts on its application?
2) Does anyone know how to calculate MI using either Base SAS or R for potential predictor variables in reference to the outcome of interest? Any help or references in this area would be greatly appreciated!