Granular Computing (GrC)-based feature selection can remove redundant features from a massive amount of data and improve the efficiency of information processing. However, the existing method of neighborhood-based information granule only considers the distance between samples, ignoring other significant relationships existing between them. To fill this gap, this paper proposes a novel feature selection approach based on two-step multi-association neighborhood evidence entropy. This approach is constructed in three phases. Firstly, adaptive k value corresponding to each sample in sparse representation method is determined. Sparse correlation and distance measure are fused to form a multi-association information granule. Then, the samples in the multi-association information granule are estimated and weak-related information is removed to constitute a two-step multi-association information granule. Secondly, sparse correlation information is processed using Dempster-Shafer evidence theory, and a new credibility-based function is developed. In addition, the credibility is used to construct a novel neighborhood evidence entropy, which can effectively reflect the uncertainty of data. Thirdly, the proposed neighborhood evidence entropy is applied to assess the importance of features. As a result, several vital features are selected. The experimental results on twelve datasets demonstrate that the effectiveness of the proposed method is superior to other algorithms in construction of information granules and classification accuracy, respectively. Finally, the proposed method is applied to the selection of brain regions in schizophrenia. It can effectively analyze the lesions of schizophrenia and improve the prediction of the disorder. The code is available at https://github.com/fxx-Aurora/TMAE-FS/tree/main.
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