Flops: On Learning Important Time Series Features For Real-Valued Prediction

Time series value forecasting using machine learning models utilizing time series features has recently got good attention of Time series analytics community. This paper proposes an automated feature learning mechanisms to filter out most useful features from hundreds of available features for time series prediction problems. The paper further proposes a novel mechanism to dynamically filter features that are most suitable for the given input time series data. With such mechanisms we create pipeline consisting of most useful features for given input data and increases the performance of the prediction model. Our proposed mechanism first, groups well known features for time series analysis, generates and assigns the features importance score using multiple scoring configurations. Once scores are assigned, features are filtered using a threshold that is derived using reference feature score and Critical Difference diagram. The filtered features are subsequently analyzed based on the characteristics of the input dataset. We show using experimental results that our approach of input data based dynamic feature selection improves the overall performance of machine learning models compared to the case where dynamic feature extraction is not applied prior to modeling.