r - Feature Selection needed to do forecasts with VAR - Cross Validated


i have time series x , several hundred time series y_i, possible driver multivariate forecast, instance var method.

the question quite unspecific, way how starting mathematical project without having knowledge :-)

in terms of feature selection, means identify key driver, useful deal independent component analysis or special assumptions regarding time series in general, financial time series?

which approach follow feature selection?

thank lot , hope of interesting discussion ...


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