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
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14
Index

Forecasting with Moving Averages and Autoregressive Models

This chapter is about time-series modeling based on moving averages and autoregression. This comprises a large set of models that are very popular in different disciplines, including econometrics and statistics. We'll discuss autoregression and moving averages models, along with others that combine these two, such as ARMA, ARIMA, VAR, GARCH, and others.

These models are still held in high esteem and find their applications. However, many new models have since sprung up that have been shown to be competitive or even outperform these simpler ones. Within their main application, however, in univariate forecasting, simple models often provide accurate or accurate enough predictions, so that these models constitute a mainstay in time-series modeling.

We're going to cover the following topics:

  • What are classical models?
    • Moving average and autoregression
    • Model selection and...