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

Prophet

Facebook's Prophet is both a Python/R library and the algorithm that comes with it. The algorithm was published in 2017 ("Forecasting at Scale" by Sean Taylor and Benjamin Letham). The authors write that the problems of forecasting and anomaly detection in practice involve the complexity of handling a variety of idiosyncratic forecasting problems at Facebook with piecewise trends, multiple seasonalities, and floating holidays, and building trust across the organization in these forecasts.

With these goals in mind, Prophet was designed to be scalable to many time-series, flexible enough for a wide range of business-relevant, possibly idiosyncratic time-series, and at the same time intuitive enough to be configurable by domain experts who might have little knowledge of time-series methods.

The Prophet algorithm is similar to the Generalized Additive Model (GAM) and formalizes the relationship between the forecast for the three model components, trend...