Book Image

Time Series Analysis with Python Cookbook

By : Tarek A. Atwan
Book Image

Time Series Analysis with Python Cookbook

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)

Forecasting univariate time series data with seasonal ARIMA

In this recipe, you will be introduced to an enhancement to the ARIMA model for handling seasonality, known as the Seasonal Autoregressive Integrated Moving Average or SARIMA. Like an ARIMA(p, d, q), a SARIMA model also requires (p, d, q) to represent non-seasonal orders. Additionally, a SARIMA model requires the orders for the seasonal component, which is denoted as (P, D, Q, s). Combining both components, the model can be written as a SARIMA(p, d, q)(P, D, Q, s). The letters still mean the same, and the letter case indicates which component. For example, the lowercase letters represent the non-seasonal orders, while the uppercase letters represent the seasonal orders. The new parameter, s, is the number of steps per cycle – for example, s=12 for monthly data or s=4 for quarterly data.

In statsmodels, you will use the SARIMAX class to build a SARIMA model.

In this recipe, you will be working with the milk data...