TSFRESH: Get N most relevant features

Question

Is there any way to get the N most relevant features in TSFRESH? Currently, the method extract_relevant_features has a parameter fdr_level, but for a big amount of time series (>1000), the function with a very low fdr_level parameter (< 0.01) returns more than 400 features. I would like to return the 20 or 40 most relevant features.

Answer 1

You could use the function calculate_relevance_table (link to the docu) (which is called internally in the select_features method, which in turn is called in the extract_relevant_features method) to get the p-value for each of the features and then only use the TOP-N sorted by p-value. So the general flow would be:

• extract all features with extract_features
• call calculate_relevance_table
• sort by p-value
• get only the top N

You could even tell tsfresh the next time to only extract those features (to save a lot of computation time) following this.