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I am new to time-series modeling, and I was wondering what the standard way of quantifying feature importances are in a time-series setting? What types of models allow for the greatest interpretation of the feature space?

I am looking for something, which does not necessarily function like the Random Forest Regressor's feature importance call, but provides a similar insight.

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For time series data,

  1. Sensitivity analysis can help with overall Importance of a feature. For example, is "Day of the week" a good feature for stock price forecasting. LIME is one approach that can help. Details : https://arxiv.org/abs/1606.05386 . One simple way is to mask each feature and check the impact on model's performance.
  2. Auto-corelation and Seasonality removal (Details in tutorial at end of the answer)
  3. SHAP : (SHapley Additive exPlanations) is good at identifying features that impact output with lag (https://medium.com/datadriveninvestor/time-step-wise-feature-importance-in-deep-learning-using-shap-e1c46a655455)

End to end example : https://machinelearningmastery.com/feature-selection-time-series-forecasting-python/

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