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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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Detecting outliers using COPOD

COPOD is an exciting algorithm based on a paper published in September 2020, which you can read here: https://arxiv.org/abs/2009.09463.

The PyOD library offers many algorithms based on the latest research papers, which can be broken down into linear models, proximity-based models, probabilistic models, ensembles, and neural networks.

COPOD falls under probabilistic models and is labeled as a parameter-free algorithm. The only parameter it takes is the contamination factor, which defaults to 0.1. The COPOD algorithm is inspired by statistical methods, making it a fast and highly interpretable model. The algorithm is based on copula, a function generally used to model dependence between independent random variables that are not necessarily normally distributed. In time series forecasting, copulas have been used in univariate and multivariate forecasting, which is popular in financial risk modeling. The term copula stems from the copula function joining...

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