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 time series stationarity

Several time series forecasting techniques assume stationarity. This makes it essential to understand whether the time series you are working with is stationary or non-stationary.

A stationary time series implies that specific statistical properties do not vary over time and remain steady, making the processes easier to model and predict. On the other hand, a non-stationary process is more complex to model due to the dynamic nature and variations over time (for example, in the presence of trend or seasonality).

There are different approaches for defining stationarity; some are strict and may not be possible to observe in real-world data, referred to as strong stationarity. In contrast, other definitions are more modest in their criteria and can be observed in (or transformed into) real-world data, known as weak stationarity.

In this recipe, and for practical reasons, a stationary time series is defined as a time series with a constant mean...