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 using non-linear models with sktime

In the previous recipes, you had to prepare the time series data to make it suitable for supervised ML. This is because scikit-learn (sklearn) is a general ML library and not specific for time series forecasting. This is where sktime is positioned to fill in the gap as a unified machine learning framework for time series. In this recipe, you will explore how to create a ML pipeline that prepares any time series data and can use algorithms from a standard ML library such as sklearn.

In Chapter 13, Deep Learning for Time Series Forecasting, you will explore other non-linear models, such as Recurrent Neural Networks. In this recipe, you will explore different algorithms that can capture non-linear relationships such as K-Nearest Neighbors Regression.

How to do it...

You will train multiple regressors (linear and non-linear) from sklearn. The recipe will cover data preparation, model training, forecasting, and comparing performance...