ChronoEpilogi: Scalable Time-Series Variable Selection with Multiple Solutions

We consider the problem of selecting all the minimal-size subsets of multivariate time-series (TS) variables whose past leads to an optimal predictive model for the future (forecasting) of a given target variable (multiple feature selection problem for times-series). Identifying these subsets leads to gaining insights, domain intuition, and a better understanding of the data-generating mechanism; it is often the first step in causal modeling. While identifying a single solution to the feature selection problem suffices for forecasting purposes, identifying all such minimal-size, optimally predictive subsets is necessary for knowledge discovery and important to avoid misleading a practitioner. We develop the theory of multiple feature selection for time-series data, propose the ChronoEpilogi algorithm, and prove its soundness and completeness under two mild, broad, non-parametric distributional assumptions, namely Compositionality of the distribution and Interchangeability of time-series variables in solutions. Experiments on synthetic and real datasets demonstrate the scalability of ChronoEpilogi to hundreds of TS variables and its efficacy in identifying multiple solutions. In the real datasets, ChronoEpilogi is shown to reduce the number of TS variables by 96% (on average) by conserving or even improving forecasting performance. Furthermore, it is on par with Group Lasso performance, with the added benefit of providing multiple solutions.