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)

Handling missing data with multivariate imputation

Earlier, we discussed the fact that there are two approaches to imputing missing data: univariate imputation and multivariate imputation.

As you have seen in the previous recipes, univariate imputation involves using one variable (column) to substitute for the missing data, disregarding other variables in the dataset. Univariate imputation techniques are usually faster and simpler to implement, but a multivariate approach may produce better results in most situations.

Instead of using a single variable (column), in a multivariate imputation, the method uses multiple variables within the dataset to impute missing values. The idea is simple: Have more variables within the dataset chime in to improve the predictability of missing values.

In other words, univariate imputation methods handle missing values for a particular variable in isolation of the entire dataset and just focus on that variable to derive the estimates. In...