'Multi-attention based supervised Feature Selection in Multivariate time series
I have been working on a multivariate time series problem. The dataset has at least 40 different factors. I tried to select only the appropriate features before training the model. I came across a paper called "A Multiattention-Based Supervised Feature Selection Method for Multivariate Time Series. The link to the paper:"https://www.hindawi.com/journals/cin/2021/6911192/
The paper looks promising however I could not find the the implementation of it. I would like to know if anyone has come across a similar paper and knows how to implement the architecture in the paper?
If not, I want to know alternate methods to find only the appropriate features for my multivariate time series before training the model.
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