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?