We propose a novel approach of selecting useful input sensors as well as learning a mathematical model for predicting lower limb joint kinematics. We applied a feature selection method based on the mutual information called the variational information maximization, which has been reported as the state-of-the-art work among information based feature selection methods. The main difficulty in applying the method is estimating reliable probability density of input and output data, especially when the data are high dimensional and real-valued. We addressed this problem by applying a generative stochastic neural network called the restricted Boltzmann machine, through which we could perform sampling based probability estimation. The mutual informations between inputs and outputs are evaluated in each backward sensor elimination step, and the least informative sensor is removed with its network connections. The entire network is fine-tuned by maximizing conditional likelihood in each step. Experimental results are shown for 4 healthy subjects walking with various speeds, recording 64 sensor measurements including electromyogram, acceleration, and foot-pressure sensors attached on both lower limbs for predicting hip and knee joint angles. For test set of walking with arbitrary speed, our results show that our suggested method can select informative sensors while maintaining a good prediction accuracy.