An introduction to variable and feature selection
The Journal of Machine Learning Research
Active feature selection using classes
PAKDD'03 Proceedings of the 7th Pacific-Asia conference on Advances in knowledge discovery and data mining
LIBSVM: A library for support vector machines
ACM Transactions on Intelligent Systems and Technology (TIST)
Variable grouping in multivariate time series via correlation
IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics
Classification of multivariate time series using two-dimensional singular value decomposition
Knowledge-Based Systems
A review on time series data mining
Engineering Applications of Artificial Intelligence
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Feature subset selection (FSS) is one of the data pre-processing techniques to identify a subset of the original features from a given dataset before performing any data mining tasks. We propose a novel FSS method for Multivariate Time Series (MTS) based on Common Principal Components, termed CLeVer. It utilizes the properties of the principal components to retain the correlation information among original features while traditional FSS techniques, such as Recursive Feature Elimination (RFE), may lose it. In order to evaluate the effectiveness of our selected subset of features, classification is employed as the target data mining task. Our experiments show that CLeVer outperforms RFE and Fisher Criterion by up to a factor of two in terms of classification accuracy, while requiring up to 2 orders of magnitude less processing time.