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Deep Learning for Time Series Cookbook

Deep Learning for Time Series Cookbook

By : Cerqueira, Luís Roque
4.8 (10)
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Deep Learning for Time Series Cookbook

Deep Learning for Time Series Cookbook

4.8 (10)
By: Cerqueira, Luís Roque

Overview of this book

Most organizations exhibit a time-dependent structure in their processes, including fields such as finance. By leveraging time series analysis and forecasting, these organizations can make informed decisions and optimize their performance. Accurate forecasts help reduce uncertainty and enable better planning of operations. Unlike traditional approaches to forecasting, deep learning can process large amounts of data and help derive complex patterns. Despite its increasing relevance, getting the most out of deep learning requires significant technical expertise. This book guides you through applying deep learning to time series data with the help of easy-to-follow code recipes. You’ll cover time series problems, such as forecasting, anomaly detection, and classification. This deep learning book will also show you how to solve these problems using different deep neural network architectures, including convolutional neural networks (CNNs) or transformers. As you progress, you’ll use PyTorch, a popular deep learning framework based on Python to build production-ready prediction solutions. By the end of this book, you'll have learned how to solve different time series tasks with deep learning using the PyTorch ecosystem.
Table of Contents (12 chapters)
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Handling seasonality – seasonal dummies and Fourier series

In this recipe, we’ll describe how to deal with seasonality in time series using seasonal dummy variables and a Fourier series.

Getting ready

Seasonality represents repeatable patterns that recur over a given period, such as every year. Seasonality is an important piece of time series, and it is important to capture it. The consensus in the literature is that neural networks cannot capture seasonal effects optimally. The best way to model seasonality is by feature engineering or data transformation. One way to handle seasonality is to add extra information that captures the periodicity of patterns. This can be done with seasonal dummies or a Fourier series.

We start by preparing the data using the series_to_supervised() function:

train, test = train_test_split(series, test_size=0.2, shuffle=False)
scaler = MinMaxScaler(feature_range=(-1, 1))
train_norm = scaler.fit_transform(
    ...

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