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)

Handling missing data with interpolation

Another commonly used technique for imputing missing values is interpolation. The pandas library provides the DataFrame.interpolate() method for more complex univariate imputation strategies.

For example, one of the interpolation methods available is linear interpolation. Linear interpolation can be used to impute missing data by drawing a straight line between the two points surrounding the missing value (in time series, this means for a missing data point, it looks at a prior past value and the next future value to draw a line between them). A polynomial interpolation, on the other hand, will attempt to draw a curved line between the two points. Hence, each method will have a different mathematical operation to determine how to fill in for the missing data.

The interpolation capabilities in pandas can be extended further through the SciPy library, which offers additional univariate and multivariate interpolations.

In this recipe...