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Implements feature selection routines for multivariate time series (MTS). The list of implemented algorithms includes: own lags (independent MTS components), distance-based (using external structure, e.g. Pfeifer and Deutsch (1980) doi:10.2307/1268381), cross-correlation (see Schelter et al. (2006, ISBN:9783527406234)), graphical LASSO (see Haworth and Cheng (2014)
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