I have a time series of indicators for a single stock. Some of the features are in repeated sets e.g. simple moving average 5D, 10D , 20D, 100D.
I only want to use one feature from each set. Is there a way for SOMs to be used to select the most important feature out of a set of similar features?
My initial thought was to create a SOM with only the 4 features we are comparing, but I am not sure if this is right or how to interpret the map.
