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)

Introduction to exceedance probability forecasting

This recipe introduces exceedance probability forecasting problems. Exceedance events occur when a time series exceeds a predefined threshold in a predefined future period. This problem is relevant when the tails of the time series distribution can have a significant impact on the domain. For example, consider the case of the inflation rate in the economy. Central banks leverage this type of forecast to assess the possibility that the inflation rate will exceed some critical threshold, above which they might consider increasing interest rates.

From a data science perspective, exceedance events are binary problems. Thus, it is common to tackle them using binary probabilistic classification models. One of the challenges is that the class representing the exceedance events is rare, which makes the learning task more difficult.

Getting ready

We’ll use a multivariate time series as an example to describe what an exceedance...