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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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Creating a VAE for time series anomaly detection

Building on the foundation laid in the previous recipe, we now turn our attention to VAEs, a more sophisticated and probabilistic approach to anomaly detection in time series data. Unlike traditional AEs, VAEs introduce a probabilistic interpretation, making them more adept at handling inherent uncertainties in real-world data.

Getting ready

This code in this recipe is based on PyOD. We also use the same dataset as in the previous recipe:

N_LAGS = 144
series = dataset['y']

Now, let’s see how to create a VAE for time series anomaly detection.

How to do it…

We begin by preparing our dataset, as in the previous recipe:

  1. The dataset is first transformed using a sliding window, a technique that helps the model understand temporal dependencies within the time series:
    import pandas as pd
    from sklearn.preprocessing import StandardScaler
    import numpy as np
    input_data = []
    for i in range(N_LAGS, series...

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