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

Probabilistic Models for Time-Series

Probability is a measure of how likely something is to occur. In sales forecasting, an estimate of uncertainty is crucial because these forecasts, providing insights into cash flow, margin, and revenue, drive business decisions on which depend the financial stability and the livelihoods of employees. This is where probabilistic models for time-series come in. They help us make decisions when an estimate of certainty is important.

In this chapter, I'll introduce Prophet, Markov models, and Fuzzy time-series models. At the end, we'll go through an applied exercise with these methods.

Another application for probabilistic modeling is estimating counterfactuals, where we can estimate treatment effects in experiments. We'll discuss the concept of Bayesian Structural Time-Series Models, and we'll run through a practical example with a time-series in the practice section.

We're going to cover the following topics...