Mutual information based feature subset selection in multivariate time series classification

Abstract This paper deals with supervised classification of multivariate time series. In particular, the goal is to propose a filter method to select a subset of time series. Consequently, we adopt the framework proposed by Brown et al. [1]. The key point in this framework is the computation of the mutual information between the features, which allows us to measure the relevance of each feature subset. In our case, where the features are a time series, we use an adaptation of existing nonparametric mutual information estimators based on the k-nearest neighbor. Specifically, for the purpose of bringing these methods to the time series scenario, we rely on the use of dynamic time warping dissimilarity. Our experimental results show that our method is able to strongly reduce the number of time series while keeping or increasing the classification accuracy.

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