Jamie Arjona

Autorelevance function and other feature relevance measures for univariate time series

Julian Cardenas, Jamie Arjona, Pedro Delicado

We propose a model agnostic methodology to measure lag relevance in machine learning forecasting models applied to univariate time series. Particularly, we are working in the context of time series using the frameworks of Ghost variables and Shapley values, together with additive…Read more