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)

Detecting outliers using visualizations

There are two general approaches for using statistical techniques to detect outliers: parametric and non-parametric methods. Parametric methods assume you know the underlying distribution of the data. For example, if your data follows a normal distribution. On the other hand, in non-parametric methods, you make no such assumptions.

Using histograms and box plots are basic non-parametric techniques that can provide insight into the distribution of the data and the presence of outliers. More specifically, box plots, also known as box and whisker plots, provide a five-number summary: the minimum, first quartile (25th percentile), median (50th percentile), third quartile (75th percentile), and the maximum. There are different implementations for how far the whiskers extend, for example, the whiskers can extend to the minimum and maximum values. In most statistical software, including Python's matplotlib and seaborn libraries, the whiskers...