Speaking with @jorisvandenbossche IRL, we come to discuss about the mRMR feature selection among other methods.

#5372 intended at first to implement the mRMR with mutual information as a metric. However, it has been merged such that mutual information could be used in the SelectKBest class. It was also discuss that the mRMR mechanism could be implemented in a separate PR with the possibility to plug any metric.

Therefore, I was wondering if scikit-learn will be interested to have this transformer to perform feature selection.

I would be interested to know the different opinions
@agramfort @MechCoder @jnothman @GaelVaroquaux @amueller @jorisvandenbossche