Improve the prediction in the digital Era: Causal feature selection with minimum redundancy

Effective decision-making in complex environments requires discerning the relevant from the irrelevant, a challenge that becomes pronounced with large multivariate time-series data. However, existing feature selection algorithms often suffer from complexity and a lack of interpretability, making it difficult for decision-makers to extract value, manage risks, and adhere to compliance regulations in a thoroughly explainable way. To address these challenges, we propose a novel causality-based feature selection technique that embeds an explainable unsupervised feature selection algorithm. We refer to our proposed method as Causal Feature Selection with Minimum Redundancy (CFSMR). Our method yields a minimum viable feature set without compromising model performance while ensuring interpretability. We conduct an experimental study to compare the proposed technique with conventional feature selection techniques. Our results demonstrate that our proposed method outperforms or performs on par with existing techniques, making it a promising approach for decision-makers seeking an effective and interpretable feature selection method.