Feature subset selection and feature ranking for multivariate time series

Feature subset selection (FSS) is a known technique to preprocess the data before performing any data mining tasks, e.g., classification and clustering. FSS provides both cost-effective predictors and a better understanding of the underlying process that generated the data. We propose a family of novel unsupervised methods for feature subset selection from Multivariate Time Series (MTS) based on Common Principal Component Analysis, termed CLeVer. Traditional FSS techniques, such as Recursive Feature Elimination (RFE) and Fisher Criterion (FC), have been applied to MTS data sets, e.g., Brain Computer Interface (BCI) data sets. However, these techniques may lose the correlation information among features, while our proposed techniques utilize the properties of the principal component analysis to retain that information. In order to evaluate the effectiveness of our selected subset of features, we employ classification as the target data mining task. Our exhaustive experiments show that CLeVer outperforms RFE, FC, and random selection by up to a factor of two in terms of the classification accuracy, while taking up to 2 orders of magnitude less processing time than RFE and FC.