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I have a Multivariate Time Series dataset that the variables are all categorical, but they can be expressed in order (e.g. 0=low, 1=medium, 2=high).

I want to perform feature selection on this dataset, and found a few methods using PCA, Recursive Feature Elimination and SVM, but to my knowledge they all work with continuous variables.

Is there a problem to use this feature selection algorithms in my ordered categorical variables? Or should I be using another method specifically for categorical variables in a Multivariate Time Series dataset?

Thanks.

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