I have hopes that Target Information Regression will start working for me somehow. And that I can eventually use it for workflow similar to this: SelectKBest which can be set to that same metric as used in Target Information Regression.
I think it is important for P123 to figure out if I am doing something wrong with thus (most likely) or if it can tweaked a little. I am agnostic. I do know I have made coding mistakes in the past. Time and careful rechecking of results will tell me on my end.
In the meantime, I use Recursive Feature Elimination (RFE). With Feature importances with a forest of trees. For now using DataMiner downloads for feature importances and RFE.
RFE runs automatically with Sklearn. I think you could do this overnight while you sleep on your old Comador computer. For sure on any modern computer or with Colab. More accurately, t took about 8 hours on my MacBook Pro with a modest number of features.
I think Marco is relying on Sklearn libraries a lot. And there is a lot to be learned over there. Honestly, nothing I said was not learned from there, as much as I would love to take any credit.
Jim