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 a z-score

The z-score is a common transformation for standardizing the data. This is common when you want to compare different datasets. For example, it is easier to compare two data points from two different datasets relative to their distributions. This can be done because the z-score standardizes the data to be centered around a zero mean and the units represent standard deviations away from the mean. For example, in our dataset, the unit is measured in daily taxi passengers (in thousands). Once you apply the z-score transformation, you are no longer dealing with the number of passengers, but rather, the units represent standard deviation, which tells us how far an observation is from the mean. Here is the formula for the z-score:

Where is a data point (an observation), mu () is the mean of the dataset, and sigma () is the standard deviation for the dataset.

Keep in mind that the z-score is a lossless transformation, which...