Mutual information based feature selection for multivariate time series forecasting

Feature selection is a significant preprocessing procedure for many high-dimensional forecasting problems. In multivariate time series forecasting, the purpose of feature selection is to select a relevant feature subset from the original time series. One of the most common strategies for feature selection is mutual information (MI) criterion. K-nearest neighbors (k-NN) is a powerful means which has been widely used to estimate the MI between two high-dimensional variables directly from data set. In order to improve the effect of feature selection, a novel procedure is proposed in this paper to use MI and k-NN to perform feature selection in multivariate time series forecasting. This feature selection procedure not only reduces the irrelevance between the inputs and outputs variables, but also removes the redundant input variables. The procedure of this method is elaborated on a synthetic data set as well as on a real-world example.