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

Python libraries

There are a few popular libraries for classical time-series modeling in Python, but the most popular by far is statsmodels. The following chart compares the popularity of libraries in terms of the number of stars on GitHub:

forecasting_libraries.png

Figure 5.3: Popularity of Python libraries for classical time-series forecasting

Statsmodels is clearly the most popular among these libraries. I've only chosen to include libraries that are actively maintained and that implement the algorithms directly rather than importing them from other libraries. The SkTime or Darts libraries, for example, offer traditional forecasting models, but they are not implemented there, but in statsmodels.

pmdarima (originally pyramid-arima) contains a parameter search to help fit the best ARIMA model to univariate time-series. Anticipy contains a number of models, such as exponential decay and step models. Arch implements tools for financial econometrics and functionality for Autoregressive...