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)

Understanding outliers

The presence of outliers requires special handling and further investigation before hastily jumping to decisions on how to handle them. First, you will need to detect and spot their existence, which this chapter is all about. Domain knowledge can be instrumental in determining whether these identified points are outliers, their impact on your analysis, and how you should deal with them.

Outliers can indicate bad data due to a random variation in the process, known as noise, or due to data entry error, faulty sensors, bad experiment, or natural variation. Outliers are usually undesirable if they seem synthetic, for example, bad data. On the other hand, if outliers are a natural part of the process, you may need to rethink removing them and opt to keep these data points. In such circumstances, you can rely on non-parametric statistical methods that do not make assumptions on the underlying distribution.

Generally, outliers can cause side effects when building...