Entropy measures have been a major interest of researchers to measure the information content of a dynamical system. One of the well-known methodologies is sample entropy, which is a model-free approach and can be deployed to measure the information transfer in time series. Sample entropy is based on the conditional entropy where a major concern is the number of past delays in the conditional term. In this study, we deploy a lag-specific conditional entropy to identify the informative past values. Moreover, considering the seasonality structure of data, we propose a clustering-based sample entropy to exploit the temporal information. Clustering-based sample entropy is based on the sample entropy definition while considering the clustering information of the training data and the membership of the test point to the clusters. In this study, we utilize the proposed method for transductive feature selection in black-box weather forecasting and conduct the experiments on minimum and maximum temperature prediction in Brussels for 1-6 days ahead. The results reveal that considering the local structure of the data can improve the feature selection performance. In addition, despite the large reduction in the number of features, the performance is competitive with the case of using all features.
Keywords: conditional entropy; feature selection; information transfer; transductive learning; weather forecasting.