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

What are classical models?

In this chapter, we'll deal with models that could be characterized as having a longer tradition, and are rooted in statistics and mathematics. They are used heavily in econometrics and statistics.

While there is considerable overlap between statistics and machine learning approaches, and each community has been absorbing the work of the other, there are still a few key differences. Whereas statistics papers are still overwhelmingly formal and deductive, machine learning researchers are more pragmatic, relying on the predictive accuracy of models.

We've talked about the very early history of time-series models in Chapter 1, Introduction to Time-Series with Python. In this chapter, we'll discuss moving averages and autoregressive approaches for forecasting. These were introduced in the early 20th century and popularized by George Box and Gwilym Jenkins in 1970 in their book "Time-Series Analysis Forecasting and Control...