Gene expression data usually contain a large number of genes but a small number of samples. Feature selection for gene expression data aims at finding a set of genes that best discriminate biological samples of different types. Using machine learning techniques, traditional gene selection based on empirical mutual information suffers the data sparseness issue due to the small number of samples. To overcome the sparseness issue, we propose a model-based approach to estimate the entropy of class variables on the model, instead of on the data themselves. Here, we use multivariate normal distributions to fit the data, because multivariate normal distributions have maximum entropy among all real-valued distributions with a specified mean and standard deviation and are widely used to approximate various distributions. Given that the data follow a multivariate normal distribution, since the conditional distribution of class variables given the selected features is a normal distribution, its entropy can be computed with the log-determinant of its covariance matrix. Because of the large number of genes, the computation of all possible log-determinants is not efficient. We propose several algorithms to largely reduce the computational cost. The experiments on seven gene data sets and the comparison with other five approaches show the accuracy of the multivariate Gaussian generative model for feature selection, and the efficiency of our algorithms.