arXiv stat.ML
· Papers
Autorelevance function and other feature relevance measures for univariate time series
arXiv:2607.01959v1 Announce Type: new Abstract: 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