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)

Forecasting time series data using auto_arima

For this recipe, you must install pmdarima, a Python library that includes auto_arima for automating ARIMA hyperparameter optimization and model fitting. The auto_arima implementation in Python is inspired by the popular auto.arima from the forecast package in R.

In Chapter 10, Building Univariate Time Series Models Using Statistical Methods, you learned that finding the proper orders for the AR and MA components is not simple. Although you explored useful techniques for estimating the orders, such as interpreting the partial autocorrelation function (PACF) and autocorrelation function (ACF) plots, you may still need to train different models to find the optimal configurations (referred to as hyperparameter tuning). This can be a time-consuming process and is where auto_arima shines.

Instead of the naive approach of training multiple models through grid search to cover every possible combination of parameter values, auto_arima automates...