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Why I said you could go with CT or CSE for the story is because CSE includes Calamity Trigger Reconstruction, basically a re-telling of the whole game and its True End. However, you won't see nearly as much character development, especially for secondary characters. If you want to know more about the whole series' universe, you should probably start with CT, otherwise just go with CSE. Plus, CSE also contains all of the Continuum Shift storylines and characters (vanilla, CSII and Extend), so there's more content than in CT.
CPE includes a short recap of CT and CSE's events, but it's more to refresh the memories of returning players. But it's also the game that has the most singleplayer content (and characters) out of the three first games, so it's good as well. You might not understand the story (which is told in a more linear way than the two games before it, by the way) very well if you haven't played through the first two games, though, so that's potentially one less game mode. The gameplay is also different from the previous games', and is closer to Centralfiction's; just so you know...
TL;DR: start with either CT or CSE if you want to follow the story, get CPE if you just want the fighting game.