Install tsfresh (pip install tsfresh).
Edit config.py for the dataset you want to handle. By default, it's Wafer. Two more are provided in the data\ directory: Ford A and Ford B. You can use any dataset from the UEA & UCR Time Series Classification Repository.
When ready, run
extract_features.pyselect_features.pytrain_and_evaluate.py
Step one takes some time, so you can skip it - each dataset directory already contains extracted features.
The code uses Python 2 (print statements).