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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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Feature engineering

For time series in particular, the quality of the features is what makes or breaks a model. Feature engineering turns raw data into the informative signals the model needs. This section covers the first layer of that work: preparing the data and creating the first features.

Our laboratory for this chapter is the M5 Forecasting Accuracy dataset, the data behind the influential M5 competition. It captures real daily unit sales for thousands of Walmart products across ten stores. Like most business data, it contains missing values (products not yet on sale at a given store), categorical hierarchies, calendar events, and price changes, so it makes for a realistic challenge.

Let's frame our mission. You are a forecasting analyst at a large retailer working from M5-style data: 30,490 product-store time series spanning about five years, plus a calendar of national events and SNAP food-benefit days, plus weekly sell prices per item. Your task is to produce daily unit...

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