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)

Evaluating deep neural networks for forecasting

Evaluating the performance of forecasting models is essential to understand how well they generalize to unseen data. Popular metrics include the Root Mean Squared Error (RMSE), Mean Absolute Percentage Error (MAPE), Mean Absolute Scaled Error (MASE), and Symmetric Mean Absolute Percentage Error (SMAPE), among others. We will implement these metrics in Python and show you how they can be applied to evaluate our model’s performance.

Getting ready

We need predictions from our trained model and the corresponding ground truth values to calculate these metrics. Therefore, we must run our model on the test set first to obtain the predictions.

To simplify the implementation, we will use the scikit-learn and sktime libraries since they have useful classes and methods to help us with this task. Since we have not installed sktime yet, let’s run the following command:

pip install sktime

Now, it is time to import the classes...