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 NeuralProphet

NeuralProphet was inspired by the Prophet library and Autoregressive Neural Network (AR-Net) to bring a new implementation, leveraging deep neural networks to provide a more scalable solution.

Prophet was built on top of PyStan, a Bayesian inference library, and is one of the main dependencies when installing Prophet. Conversely, NeuralProphet is based on PyTorch and is as used as the deep learning framework. This allows NeuralProphet to scale to larger datasets and generally provides better accuracy than Prophet. Like Prophet's method, NeuralProphet performs hyperparameter tuning and fully automates many aspects of time series forecasting.

In this recipe, you will compare the results using NeuralProphet against Prophet.

Getting ready

It is recommended to create a new virtual Python environment this way, you can install all the required dependencies without any conflicts or issues with your...