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 the Tukey method

This recipe will extend on the previous recipe, Detecting outliers using visualizations. In Figure 8.5, the box plot showed the quartiles with whiskers extending to the upper and lower fences. These boundaries or fences were calculated using the Tukey method.

Let's expand on Figure 8.5 with additional information on the other components:

Figure 8.10 – Box plot for the daily average taxi passengers data

Visualizations are great to give you a high-level perspective on the data you are working with, such as the overall distribution and potential outliers. Ultimately you want to identify these outliers programmatically so you can isolate these data points for further investigation and analysis. This recipe will teach how to calculate IQR and define points that fall outside the lower and upper Tukey fences.

How to do it...

Most statistical methods allow you to spot extreme values beyond a certain threshold...