Python Feature Engineering Cookbook - Second Edition

10

Creating Features from a Time Series with tsfresh

Throughout this book, we’ve discussed feature engineering methods and tools suitable for tabular data and relational datasets. In this chapter, we will focus on time series data. A time series is a sequence of observations taken sequentially over time. Examples of time series are energy generation and demand, temperature, air pollutant concentration, stock prices, and sales revenue. Each of these examples constitutes a variable, and their values change over time.

The availability of cheap sensors that can measure motion, movement, humidity, or temperature, among several other things, has dramatically increased the availability of temporally annotated data. These time series can then be used ...