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)

Probabilistic Time Series Forecasting

In the preceding chapters, we delved into time series problems from a point forecasting perspective. Point forecasting models predict a single value. However, forecasts are inherently uncertain, so it makes sense to quantify the uncertainty around a prediction. This is the goal of probabilistic forecasting, which can be a valuable approach for better-informed decision-making.

In this chapter, we’ll focus on three types of probabilistic forecasting settings. We’ll delve into exceedance probability forecasting, which helps us estimate the likelihood of a time series surpassing a predefined threshold. We will also deal with prediction intervals, which provide a range of possible values within which a future observation is likely to fall. Finally, we will explore predicted probability forecasting, which offers a probabilistic assessment of individual outcomes, providing a fine-grained perspective of future possibilities.

This chapter...