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

Markov Models

A Markov chain is a probabilistic model describing a sequence of possible events that satisfies the Markov property.

Markov property: In a sequence or stochastic process that possesses the Markov property, the probability of each event depends only on the immediately preceding state (rather than earlier states). These sequences or processes can also be called Markovian, or a Markov Process.

Named after Russian mathematician Andrey Markov, the Markov property is very desirable since it significantly reduces the complexity of a problem. In forecasting, instead of taking into account all previous states, t-1, t-2, …, 0, only t-1 is considered.

Similarly, the Markov assumption, for a mathematical or machine learning model is that the sequence satisfies the Markov property. In models such as the Markov chain and Hidden Markov model, the process or sequence is assumed to be a Markov process.

In a discrete-time Markov chain (DTMC), the...