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)

Understanding state-space models

In this chapter, you will see references to state-space models. In Chapter 10, Building Univariate Time Series Models Using Statistical Methods, you were introduced to exponential smoothing (Holt-Winters) and ARIMA-type models. Before defining what state-space models are, I want to point out that these models can be represented in a state-space formulation.

State-Space Models (SSM) have their roots in the field of engineering (more specifically control engineering) and offer a generic approach to modeling dynamic systems and how they evolve over time. In addition, SSMs are widely used in other fields, such as economics, neuroscience, electrical engineering, and other disciplines.

In time series data, the central idea behind SSMs is that of latent variables, also called states, which are continuous and sequential through the time-space domain. For example, in a univariate time series, we have a response variable at time ; this is the observed...