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)

Optimizing a forecasting model with hyperparameter tuning

You trained different regression models using default parameter values in the previous recipe. A common term for such parameters is hyperparameters, as these are not learned by the model but instead supplied by the user, influencing the model's architecture and behavior.

In this recipe, you will examine how you can find optimal hyperparameter values for the KNN Regresssor (from the previous recipe). You will perform a cross-validated grid search using sktime's ForecastingGridSearchCV.

You have performed a grid search in the Forecasting univariate time series data with non-seasonal ARIMA recipe from Chapter 10, Building Univariate Time Series Models Using Statistical Methods. Similarly, you were introduced to different automated methods for finding optimal hyperparameters in auto_arima under the Forecasting time series data using auto_arima recipe in Chapter 11, Additional Statistical Modeling Techniques for...