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 Facebook Prophet

The Prophet library is a popular open source project that was originally developed at Facebook (Meta) based on a 2017 paper that proposed an algorithm for time series forecasting titled Forecasting at Scale. The project soon gained popularity due to its simplicity, its ability to create compelling and performant forecasting models, and its ability to handle complex seasonality, holiday effects, missing data, and outliers. The Prophet library automates many aspects of designing a forecasting model while providing additional out-of-the-box visualizations. The library offers additional capabilities, such as building growth models (saturated forecasts), working with uncertainty in trend and seasonality, and changepoint detection.

In this recipe, you will use the Milk Production dataset used in the previous recipe. This will help you understand the different forecasting approaches while using the same dataset for benchmarking.

The...