Book Image

Time Series Analysis with Python Cookbook

By : Tarek A. Atwan
Book Image

Time Series Analysis with Python Cookbook

By: Tarek A. Atwan

Overview of this book

Time series data is everywhere, available at a high frequency and volume. It is complex and can contain noise, irregularities, and multiple patterns, making it crucial to be well-versed with the techniques covered in this book for data preparation, analysis, and forecasting. This book covers practical techniques for working with time series data, starting with ingesting time series data from various sources and formats, whether in private cloud storage, relational databases, non-relational databases, or specialized time series databases such as InfluxDB. Next, you’ll learn strategies for handling missing data, dealing with time zones and custom business days, and detecting anomalies using intuitive statistical methods, followed by more advanced unsupervised ML models. The book will also explore forecasting using classical statistical models such as Holt-Winters, SARIMA, and VAR. The recipes will present practical techniques for handling non-stationary data, using power transforms, ACF and PACF plots, and decomposing time series data with multiple seasonal patterns. Later, you’ll work with ML and DL models using TensorFlow and PyTorch. Finally, you’ll learn how to evaluate, compare, optimize models, and more using the recipes covered in the book.
Table of Contents (18 chapters)

Chapter 11: Additional Statistical Modeling Techniques for Time Series

In Chapter 10, Building Univariate Time Series Models Using Statistical Methods, you were introduced to exponential smoothing, non-seasonal ARIMA, and seasonal ARIMA for building forecasting models. These are popular techniques and are referred to as classical or statistical forecasting methods. They are fast, simple to implement, and easy to interpret.

In this chapter, you will dive head-first and learn about additional statistical methods that build on the foundation you gained from the previous chapter. This chapter will introduce a few libraries that can automate time series forecasting and model optimization—for example, auto_arima and Facebook's Prophet library. Additionally, you will explore statsmodels' vector autoregressive (VAR) class for working with multivariate time series and the arch library, which supports GARCH for modeling volatility in financial data.

The main goal of this...