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Time Series Analysis with Python Cookbook

Time Series Analysis with Python Cookbook

By : Tarek A. Atwan
4.8 (11)
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Time Series Analysis with Python Cookbook

Time Series Analysis with Python Cookbook

4.8 (11)
By: Tarek A. Atwan

Overview of this book

Time series data is everywhere, available at a high frequency and volume. It is complex and can contain noise, irregularities, and multiple patterns, making it crucial to be well-versed with the techniques covered in this book for data preparation, analysis, and forecasting. This book covers practical techniques for working with time series data, starting with ingesting time series data from various sources and formats, whether in private cloud storage, relational databases, non-relational databases, or specialized time series databases such as InfluxDB. Next, you’ll learn strategies for handling missing data, dealing with time zones and custom business days, and detecting anomalies using intuitive statistical methods, followed by more advanced unsupervised ML models. The book will also explore forecasting using classical statistical models such as Holt-Winters, SARIMA, and VAR. The recipes will present practical techniques for handling non-stationary data, using power transforms, ACF and PACF plots, and decomposing time series data with multiple seasonal patterns. Later, you’ll work with ML and DL models using TensorFlow and PyTorch. Finally, you’ll learn how to evaluate, compare, optimize models, and more using the recipes covered in the book.
Table of Contents (18 chapters)
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Forecasting univariate time series data with exponential smoothing

In this recipe, you will explore the exponential smoothing technique using the statsmodels library. The ExponentialSmoothing classes in statsmodels resemble popular implementations from the R forecast package, such as ets() and HoltWinters(). In statsmodels, there are three different implementations (classes) of exponential smoothing, depending on the nature of the data you are working with:

  • SimpleExpSmoothing: Simple exponential smoothing is used when the time series process lacks seasonality and trend. This is also referred to as single exponential smoothing.
  • Holt: Holt's exponential smoothing is an enhancement of the simple exponential smoothing and is used when the time series process contains only trend (but no seasonality). It is referred to as double exponential smoothing.
  • ExponentialSmoothing: Holt-Winters' exponential smoothing is an enhancement of Holt's exponential smoothing...

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