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)

Stationary processes


Properties of data such as central tendency, dispersion, skewness, and kurtosis are called sample statistics. Mean and variance are two of the most commonly used sample statistics. In any analysis, data is collected by gathering information from a sample of the larger population. Mean, variance, and other properties are then estimated based on the sample data. Hence these are referred to as sample statistics.

An important assumption in statistical estimation theory is that, for sample statistics to be reliable, the population does not undergo any fundamental or systemic shifts over the individuals in the sample or over the time during which the data has been collected. This assumption ensures that sample statistics do not alter and will hold for entities that are outside the sample used for their estimation.

This assumption also applies to time series analysis so that mean, variance and auto-correlation estimated from the simple can be used as a reasonable estimate for...