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 time series with multiple seasonal patterns using Prophet

You were introduced to Prophet in Chapter 11, Additional Statistical Modeling Techniques for Time Series, under the Forecasting time series data using Facebook Prophet recipe, using the milk production dataset. The milk production dataset is a monthly dataset with a trend and one seasonal pattern.

The goal of this recipe is to show how you can use Prophet to solve a more complex dataset with multiple seasonal patterns. Preparing time series data for supervised learning is an important step, as shown in Chapter 12, Forecasting Using Supervised Machine Learning, and Chapter 13, Deep Learning for Time Series Forecasting. Similarly, the feature engineering technique for creating additional features is an important topic when training and improving machine learning and deep learning models. One benefit of using algorithms such as the UCM (introduced in the previous recipe) or Prophet is that they require little to...