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Machine Learning for Time Series with Python

Machine Learning for Time Series with Python - Second Edition

By : Ben Auffarth
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Machine Learning for Time Series with Python

Machine Learning for Time Series with Python

By: Ben Auffarth

Overview of this book

The Python ecosystem offers a wide range of tools for time series analysis and time series forecasting. Machine Learning for Time Series, Second Edition provides a practical guide to building forecasting systems while developing a solid understanding of modern predictive modeling techniques. Starting with the fundamentals of time series data, you'll learn how to prepare datasets, perform feature engineering, and build forecasting pipelines. The book covers traditional methods such as ARIMA, SARIMA, and GARCH, alongside machine learning approaches including gradient boosting, recurrent neural networks, and deep learning models. Through practical examples and clear explanations, you'll learn how to choose the right model for the right problem and improve forecasting accuracy across multiple applications. Updated content includes forecasting and signal extraction for financial markets, plus case studies from operations management, digital marketing, healthcare, and financial forecasting. By the end of this book, you'll be able to confidently perform time series analysis and build effective forecasting systems using Python.
Table of Contents (7 chapters)
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Technical requirements

In this chapter we will work with the M5 Forecasting Accuracy dataset, which contains daily unit sales for 3,049 Walmart products across 10 stores in California, Texas, and Wisconsin (about 30,490 product-store time series in total). The data is hosted on Zenodo at https://zenodo.org/records/12636070 under a Creative Commons Attribution 4.0 license, which means we can redistribute and modify it freely as long as we cite the source.

We picked M5 deliberately. Other widely used retail benchmarks (Rossmann, Favorita, Walmart Recruiting) live behind Kaggle competition rules that restrict redistribution, so we'd have to send you to a login page to fetch them. M5 lets us ship a one-line download script in the companion repository (download_m5.py) that pulls the files straight from Zenodo. Run it once before working through the notebooks.

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Machine Learning for Time Series with Python
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