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)

Technical requirements

You will be working with the sktime library, described as "a unified framework for machine learning with time series". Behind the scenes, sktime is a wrapper to other popular ML and time series libraries, including scikit-learn. It is recommended to create a new virtual environment for Python so that you can install all the required dependencies without any conflicts or issues with your current environment.

If you need a quick refresher on creating a virtual Python environment, check out the Development environment setup recipe, from Chapter 1, Getting Started with Time Series Analysis. The chapter covers two methods: using conda and venv.

The following instructions will show how to create a virtual environment using conda. You can call the environment any name you like. For the following example, we will name the environment sktime:

>> conda create -n sktime python=3.9 -y
>> conda activate sktime
>> conda install -c conda...