Book Image

Deep Learning for Time Series Cookbook

By : Vitor Cerqueira, Luís Roque
Book Image

Deep Learning for Time Series Cookbook

By: Vitor Cerqueira, Luís Roque

Overview of this book

Most organizations exhibit a time-dependent structure in their processes, including fields such as finance. By leveraging time series analysis and forecasting, these organizations can make informed decisions and optimize their performance. Accurate forecasts help reduce uncertainty and enable better planning of operations. Unlike traditional approaches to forecasting, deep learning can process large amounts of data and help derive complex patterns. Despite its increasing relevance, getting the most out of deep learning requires significant technical expertise. This book guides you through applying deep learning to time series data with the help of easy-to-follow code recipes. You’ll cover time series problems, such as forecasting, anomaly detection, and classification. This deep learning book will also show you how to solve these problems using different deep neural network architectures, including convolutional neural networks (CNNs) or transformers. As you progress, you’ll use PyTorch, a popular deep learning framework based on Python to build production-ready prediction solutions. By the end of this book, you'll have learned how to solve different time series tasks with deep learning using the PyTorch ecosystem.
Table of Contents (12 chapters)

Handling seasonality – seasonal decomposition

This recipe describes yet another approach to modeling seasonality, this time using a time series decomposition approach.

Getting ready

We learned about time series decomposition methods in Chapter 1. Decomposition methods aim at extracting the individual parts that make up a time series.

We can use this approach to deal with seasonality. The idea is to separate the seasonal component from the rest (trend plus residuals). We can use a deep neural network to model the seasonally adjusted series. Then, we use a simple model to forecast the seasonal component.

Again, we’ll start with the daily solar radiation time series. This time, we won’t split training and testing to show how the forecasts are obtained in practice.

How to do it…

We start by decomposing the time series using STL. We learned about this method in Chapter 1:

from statsmodels.tsa.api import STL
series_decomp = STL(series, period...