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 non-constant variance – log transformation

We’ve learned how to deal with changes in the level of the time series that occur due to either trend or seasonal patterns. In this recipe, we’ll deal with changes in the variance of time series.

Getting ready

We’ve learned in Chapter 1 that some time series are heteroscedastic, which means that the variance changes over time. Non-constant variance is problematic as it makes the learning process more difficult.

Let’s start by splitting the solar radiation time series into training and testing sets:

train, test = train_test_split(time_series, test_size=0.2, 
    shuffle=False)

Again, we leave the last 20% of observations for testing.

How to do it…

We’ll show how to stabilize the variance of a time series using the logarithm transformation and a Box-Cox power transformation.

Log transformation

In Chapter 1, we defined the LogTransformation...