Book Image

Machine Learning for Time-Series with Python

By : Ben Auffarth
Book Image

Machine Learning for Time-Series with Python

By: Ben Auffarth

Overview of this book

The Python time-series ecosystem is huge and often quite hard to get a good grasp on, especially for time-series since there are so many new libraries and new models. This book aims to deepen your understanding of time series by providing a comprehensive overview of popular Python time-series packages and help you build better predictive systems. Machine Learning for Time-Series with Python starts by re-introducing the basics of time series and then builds your understanding of traditional autoregressive models as well as modern non-parametric models. By observing practical examples and the theory behind them, you will become confident with loading time-series datasets from any source, deep learning models like recurrent neural networks and causal convolutional network models, and gradient boosting with feature engineering. This book will also guide you in matching the right model to the right problem by explaining the theory behind several useful models. You’ll also have a look at real-world case studies covering weather, traffic, biking, and stock market data. By the end of this book, you should feel at home with effectively analyzing and applying machine learning methods to time-series.
Table of Contents (15 chapters)
13
Other Books You May Enjoy
14
Index

Forecasting a Multivariate Time-Series

Time-series forecasting is an active research topic in academia. Forecasting long-term trends is not only a fun challenge, but has important implications for strategic planning and operations research in real-world applications such as IT operations management, manufacturing, and cyber security.

A multivariate time-series has more than one dependent variable. This means that each dependent variable not only depends on its own past values, but also potentially on the past values of other variables. This introduces complexity such as colinearity, where the dependent variables are not independent, but rather correlated. Colinearity violates the assumptions of many linear models, and it is therefore even more appealing to resort to models that can capture feature interactions.

This figure shows an example of a multivariate time-series, COVID deaths in different countries (from the English Wikipedia article about the COVID-19 pandemic):

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