The selection methods I am looking for are the ones based on subset evaluation (i.e. do not simply rank individual features). I prefer implementations in Matlab or based on WEKA, but implementations in any other language will still be useful.
I am aware of the existence of CsfSubsetEval and ConsistencySubsetEval in WEKA, but they did not lead to good classification performance, probably because they suffer from the following limitation:
CsfSubsetEval is biased toward small feature subsets, which may prevent locally predictive features from being included in the selected subset, as noted in [1].
ConsistencySubsetEval use min-features bias [2] which, similarly to CsfSubsetEval, result in the selection of too few features.
I know it is "too few" because I have built classification models with larger subsets and their classification performance were relatively much better.
[1] M. A. Hall, Correlation-based Feature Subset Selection for Machine Learning, 1999.
[2] Liu, Huan, and Lei Yu, Toward integrating feature selection algorithms for classification and clustering, 2005.
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