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

Change point detection

A common problem with time-series is changes in the behavior of the observed system. Generally speaking, a change point signals an abrupt and significant transition between states in the process generating the series. For example, the trend can suddenly change, and a change point can signal where the trend of the series changes. This is well known under the guise of technical chart pattern analysis in trading.

This list captures some applications for Change point detection (CPD):

  • Speech recognition: Detection of word and sentence boundaries
  • Image analysis: Surveillance on video footage of closed-circuit television
  • Fitness: Segmenting human activities over time based on data from motion sensors from smart devices such as watches or phones
  • Finance: Identifying changes to trend patterns that could indicate changes from bear to bull markets, or the other way around

As an example for the importance of CPD, consider...