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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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Summary

This chapter provided a hands-on guide to the dominant workflow for modern time series forecasting: treating it as a regression problem. Using the M5 Walmart sales challenge, we built a complete forecasting system from the ground up.

In this chapter, you developed several key skills for time series forecasting. You learned to perform systematic feature engineering, creating a hierarchy of features ranging from foundational lags and rolling windows to contextual calendar effects and domain-specific signals. You now understand the two main approaches to using tree-based models, feature-based vs. specialized, and can choose the appropriate one for your task.

You gained hands-on experience by training a high-performance LightGBM model, the industry workhorse for tabular data, and learned to tune its hyperparameters for optimal performance. Furthermore, you explored advanced hybrid techniques, combining classical decomposition, and Fourier analysis with machine learning to capture...

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