Using Cross-Correlation for variable selection from a time series database

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Karamos
Karamos 2012-1-12
Hi all, I would like to use cross correlation function to a large time series database (e.g 50 different predictor variables) and then perform a variable section,feature selection. So from the large database create a new smaller one(e.g 10 variables). The new subset will contain the most explanatory variables which will have the highest correlation with the independent variable so I can build robust non linear model. I will really appreciate if someone can give me an insight how I will build this model? Any other ideas or an existing code on how to create this subset are welcome!
Thanks

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