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 with multiple seasonal patterns using the Unobserved Components Model (UCM)

In the previous recipe, you were introduced to MSTL to decompose a time series with multiple seasonality. Similarly, the Unobserved Components Model (UCM) is a technique that decomposes a time series (with multiple seasonal patterns), but unlike MSTL, the UCM is also a forecasting model. Initially, the UCM was proposed as an alternative to the ARIMA model and introduced by Harvey in the book Forecasting, structural time series models and the Kalman filter, first published in 1989.

Unlike an ARIMA model, the UCM decomposes a time series process by estimating its components and does not make assumptions regarding stationarity or distribution. Recall, an ARIMA model uses differencing (the d order) to make a time series stationary.

There are situations where making a time series stationary – for example, through differencing – is not achievable. The time series can also contain...