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)

Detecting outliers using One-Class Support Vector Machine (OCSVM)

Support Vector Machine (SVM) is a popular supervised machine learning algorithm that is mainly known for classification but can also be used for regression. The popularity of SVM comes from the use of kernel functions (sometimes referred to as the kernel trick), such as linear, polynomial, Radius-Based Function (RBF), and the sigmoid function.

In addition to classification and regression, SVM can also be used for outlier detection in an unsupervised manner, similar to KNN, which is mostly known as a supervised machine learning technique but was used in an unsupervised manner for outlier detection, as seen in the Outlier detection using KNN recipe.

How to do it...

In this recipe, you will continue to work with the tx DataFrame, created in the Technical requirements section, to detect outliers using the ocsvm class from PyOD:

  1. Start by loading the OCSVM class:
    from pyod.models.ocsvm import OCSVM
  2. There...