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Modern Time Series Forecasting with Python

Modern Time Series Forecasting with Python - Second Edition

By : Manu Joseph, Jeffrey Tackes
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Modern Time Series Forecasting with Python

Modern Time Series Forecasting with Python

5 (2)
By: Manu Joseph, Jeffrey Tackes

Overview of this book

Predicting the future, whether it's market trends, energy demand, or website traffic, has never been more crucial. This practical, hands-on guide empowers you to build and deploy powerful time series forecasting models. Whether you’re working with traditional statistical methods or cutting-edge deep learning architectures, this book provides structured learning and best practices for both. Starting with the basics, this data science book introduces fundamental time series concepts, such as ARIMA and exponential smoothing, before gradually progressing to advanced topics, such as machine learning for time series, deep neural networks, and transformers. As part of your fundamentals training, you’ll learn preprocessing, feature engineering, and model evaluation. As you progress, you’ll also explore global forecasting models, ensemble methods, and probabilistic forecasting techniques. This new edition goes deeper into transformer architectures and probabilistic forecasting, including new content on the latest time series models, conformal prediction, and hierarchical forecasting. Whether you seek advanced deep learning insights or specialized architecture implementations, this edition provides practical strategies and new content to elevate your forecasting skills. *Email sign-up and proof of purchase required
Table of Contents (27 chapters)
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1
Part 1: Getting Familiar with Time Series
6
Part 2: Machine Learning for Time Series
13
Part 3: Deep Learning for Time Series
21
Part 4: Mechanics of Forecasting
25
Other Books You May Enjoy
26
Index

Decomposing a time series

Seasonal decomposition is the process by which we deconstruct a time series into its components – typically, trend, seasonality, and residuals. The general approach for decomposing a time series is as follows:

  1. Detrending: Here, we estimate the trend component (which is the smooth change in the time series) and remove it from the time series, giving us a detrended time series.
  2. Deseasonalizing: Here, we estimate the seasonality component from the detrended time series. After removing the seasonal component, what is left is the residual.

Let's discuss them in detail.

Detrending

Detrending can be done in a few different ways. Two popular ways of doing it are by using moving averages and locally estimated scatterplot smoothing (LOESS) regression.

Moving averages

One of the easiest ways of estimating trends is by using a moving average along the time series. It can be seen as a window that is moved along the time series in steps, and at each step, the...

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