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 multivariate time series data using VAR

In this recipe, you will explore the Vector Autoregressive (VAR) model for working with multivariate time series. In Chapter 10, Building Univariate Time Series Models Using Statistical Methods, we discussed AR, MA, ARIMA, and SARIMA as examples of univariate one-directional models. VAR, on the other hand, is bi-directional and multivariate.

VAR versus AR Models

You can think of a VAR of order p, or VAR(P), as a generalization of the univariate AR(p) mode for working with multiple time series. Multiple time series are represented as a vector, hence the name vector autoregression. A VAR of lag one can be written as VAR(1) across two or more variables.

There are other forms of multivariate time series models, including Vector Moving Average (VMA), Vector Autoregressive Moving Average (VARMA), and Vector Autoregressive Integrated Moving Average (VARIMA), that generalize other univariate models. In practice, you will find that...