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)

Summary


This chapter covers exponential smoothing approaches to smoothen time series data. The approaches can be easily extended for the forecasting by including terms such as smoothing factor, trend factor, and seasonality factor. The single order exponential smoothing performs smoothing using only the smoothing factor, which is further extended by second order smoothing factor by including the trend component. The third order smoothing was also covered, which incorporates all smoothing, trend, and seasonality factors into the model.

This chapter covered all these models in detail with their Python implementation. The smoothing approaches can be used to forecast if the time series is a stationary signal. However, the assumption may not be true. Higher-order exponential smoothing is recommended but its computation becomes hard. Thus, to deal with the approach, other forecasting techniques such as Autoregressive Integrated Moving Average (ARIMA) is proposed, which will be covered in the next...