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

Adaptive learning methods

Adaptive learning refers to incremental methods with drift adjustment. This concept refers to updating predictive models online to react to concept drifts. The goal is that by taking drift into account, models can ensure consistency with the current data distribution.

Ensemble methods can be coupled with drift detectors to trigger the retraining of base models. They can monitor the performance of base models (often with ADWIN) – underperforming models get replaced with retrained models if the new models are more accurate.

As a case in point, the Adaptive XGBoost algorithm (AXGB; Jacob Montiel and others, 2020) is an adaptation of XGBoost for evolving data streams, where new subtrees are created from mini-batches of data as new data becomes available. The maximum ensemble size is fixed, and once this size is reached, the ensemble is updated on new data.

In the Scikit-Multiflow and River libraries, there are several methods that couple machine...