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)

Technical requirements

You can download the Jupyter Notebooks and needed datasets from the GitHub repository:

Throughout the chapter, you will be using a dataset from the Numenta Anomaly Benchmark (NAB), which provides outlier detection benchmark datasets. For more information about NAB, please visit their GitHub repository here: https://github.com/numenta/NAB.

The New York Taxi dataset captures the number of NYC taxi passengers at a specific timestamp. The data contains known anomalies that are provided to evaluate the performance of our outlier detectors. The dataset contains 10,320 records between July 1, 2014, to May 31, 2015. The observations are captured in a 30-minute interval, which translates to freq = '30T...