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)

Applying power transformations

Time series data can be complex, and embedded within the data is critical information that you will need to understand and peek into to determine the best approach for building a model. For example, you have explored time series decomposition, understood the impact of trend and seasonality, and tested for stationarity. In the previous recipe, Detecting time series stationarity, you examined the technique to transform data from non-stationary to stationary. This includes the idea of detrending, which attempts to stabilize the mean over time.

Depending on the model and analysis you are pursuing, you may need to test for additional assumptions against the observed dataset or the model's residuals. For example, testing for homoskedasticity (also spelled homoscedasticity) and normality. Homoskedasticity means that the variance is stable over time. More specifically, it is the variance of the residuals. When the variance is not constant, changing...