Unsupervised Filter Feature Selection - Rank by Correlation

I have a set of features which and I wish to rank according to their Correlation Coefficient with eachother, without accounting for the true label (that would by a Supervised feature selection, right?). My objective is selecting the first feature as the one more correlated with every other, take it out and so on.

The problem is how to test the correlation of a vector with a matrix (all the other vectors/features)? Is it possible to do this or am I doing this all right.

PS: I'm using MATLAB 2013b

Thank you all

[Giorgio]

Hi,

did you have a look at: http://it.mathworks.com/matlabcentral/fileexchange/56937-feature-selection-library

best wishes,

Answer 1

[Image Analyst]

Yes. It is possible. Give it a shot and see what happens. Come back here with your attempt at coding if you need someone to help you.