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

Python Exercise

Let's put into practice what we've learned in this chapter so far. We'll be doing a model in Prophet, a Markov Switching model, a Fuzzy time-series model, and a BSTS model.

Let's get started with Prophet!

Prophet

First, let's make sure we have everything installed that we need. Let's quickly install the required libraries. We can do this from the terminal (or similarly from the Anaconda navigator):

pip install -U pandas-datareader plotly

You'll need a recent version of pandas-datareader, otherwise you might get a RemoteDataError.

We'll use the Prophet model through Facebook's Prophet library. Let's install it:

pip install prophet

Once this is done, we are set to go.

In this example, we'll use the daily Yahoo closing stock values in this chapter that we used in several examples in Chapter 7, Machine Learning Models for Time-Series.

To recap, we can download the daily Yahoo...