Book Image

Practical Time Series Analysis

By : Avishek Pal, PKS Prakash
Book Image

Practical Time Series Analysis

By: Avishek Pal, PKS Prakash

Overview of this book

Time Series Analysis allows us to analyze data which is generated over a period of time and has sequential interdependencies between the observations. This book describes special mathematical tricks and techniques which are geared towards exploring the internal structures of time series data and generating powerful descriptive and predictive insights. Also, the book is full of real-life examples of time series and their analyses using cutting-edge solutions developed in Python. The book starts with descriptive analysis to create insightful visualizations of internal structures such as trend, seasonality, and autocorrelation. Next, the statistical methods of dealing with autocorrelation and non-stationary time series are described. This is followed by exponential smoothing to produce meaningful insights from noisy time series data. At this point, we shift focus towards predictive analysis and introduce autoregressive models such as ARMA and ARIMA for time series forecasting. Later, powerful deep learning methods are presented, to develop accurate forecasting models for complex time series, and under the availability of little domain knowledge. All the topics are illustrated with real-life problem scenarios and their solutions by best-practice implementations in Python. The book concludes with the Appendix, with a brief discussion of programming and solving data science problems using Python.
Table of Contents (13 chapters)

Chapter 4. Auto-Regressive Models

In the previous chapter, exponential smoothing-based forecasting techniques were covered, which is based on the assumption that time series is composed on deterministic and stochastic terms. The random component is zero out with number of observations considered for the forecasting. This assumes that random noise is truly random and follows independent identical distribution. However, this assumption often tends to get violated and smoothing is not sufficient to model the process and set up a forecasting model.

In these scenarios, auto-regressive models can be very useful as these models adjust immediately using the prior lag values by taking advantage of inherent serial correlation between observations. This chapter introduces forecasting concepts using auto-regressive models. The auto-regressive model includes auto-regressive terms or moving average terms. Based on the components used, there are multiple approaches that can be used in time series forecasting...