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)

Decomposing time series data

When performing time series analysis, one of your objectives may be forecasting, where you build a model to make a future prediction. Before starting the modeling process, you will need to extract the components of the time series process for analysis. This will help you make informed decisions during the modeling process. In addition, there are three major components for any time series process: trend, seasonality, and residual.

Trend gives a sense of the long-term direction of the time series and can be either upward, downward, or horizontal. For example, a time series of sales data can show an upward (increasing) trend. Seasonality is repeated patterns over time. For example, a time series of sales data might show an increase in sales around Christmas time. This phenomenon can be observed every year (annually) as we approach Christmas. The residual is simply the remaining or unexplained portion once we extract trend and seasonality.

The decomposition...