book

Time Series Analysis with Python Cookbook

by Tarek A. Atwan

June 2022

Beginner to intermediate

630 pages

13h 18m

English

Packt Publishing

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ContributorsAbout the authorAbout the reviewers
Who this book is forWhat this book coversTo get the most out of this book Download the example code filesCode in ActionConventions usedSectionsGetting readyHow to do it…How it works…There's more…See alsoGet in touchShare Your Thoughts
Technical requirementsDevelopment environment setupGetting readyHow to do it…How it works…There's more…See alsoInstalling Python librariesGetting readyHow to do it…How it works…There's more…See alsoInstalling JupyterLab and JupyterLab extensionsGetting readyHow to do it…How it works…There's more…See also
Technical requirementsReading data from CSVs and other delimited filesGetting readyHow to do it…How it works…There's more…See alsoReading data from an Excel fileGetting readyHow to do it…How it works…There's more…See alsoReading data from URLsGetting readyHow to do it…How it works…There's more…See alsoReading data from a SAS datasetGetting readyHow to do it…How it works…There's more…See also
Technical requirementsReading data from a relational databaseGetting readyHow to do it…How it works…There's more…See alsoReading data from SnowflakeGetting readyHow to do it...How it works...There's more...See alsoReading data from a document database (MongoDB)Getting readyHow to do it…How it works…There's more…See alsoReading third-party financial data using APIsGetting readyHow to do it…How it works…There's more…See alsoReading data from a time series database (InfluxDB)Getting readyHow to do it…How it works…There's more…See also
Technical requirementsSerializing time series data with pickleGetting readyHow to do it…How it works…There's more…See alsoWriting to CSV and other delimited filesGetting readyHow to do it…How it works…There's more…See alsoWriting data to an Excel fileGetting readyHow to do it…How it works…There's more…See alsoStoring data to S3Getting readyHow to do it…How it works…There's more…See also
Technical requirementsWriting time series data to a relational database (PostgreSQL and MySQL)Getting readyHow to do it…How it works…There's more…See alsoWriting time series data to MongoDBGetting readyHow to do it…How it works…There's more…See alsoWriting time series data to InfluxDBGetting readyHow to do it…How it works…There's more…See alsoWriting time series data to SnowflakeGetting readyHow to do it...How it works...There's more...See also
Technical requirementsWorking with DatetimeIndexHow to do it…How it works…There's more…See alsoProviding a format argument to DateTimeHow to do it…How it works…There's more…See alsoWorking with Unix epoch timestampsHow to do it…How it works…There's more…See alsoWorking with time deltasHow to do it…How it works…There's more…See alsoConverting DateTime with time zone informationHow to do it…How it works…There's more… See alsoWorking with date offsetsHow to do it…How it works…There's more…See also Working with custom business daysHow to do it…How it works…There's more…See also
Technical requirementsFunction 1 – read_datasetsFunction 2 – plot_dfsFunction 3 – rmse_scoreUnderstanding missing dataPerforming data quality checksGetting readyHow to do it…How it works…There's more…See alsoHandling missing data with univariate imputation using pandas Getting readyHow to do it…How it works…There's more…See alsoHandling missing data with univariate imputation using scikit-learn Getting readyHow to do it…How it works…There's more…See alsoHandling missing data with multivariate imputationGetting readyHow to do it…How it works…There's more…See alsoHandling missing data with interpolationGetting readyHow to do it…How it works…There's more…See also
Technical requirementsUnderstanding outliersResampling time series dataHow to do it…How it works…There's more...See alsoDetecting outliers using visualizationsGetting readyHow to do it...How it works...There's more...See alsoDetecting outliers using the Tukey methodHow to do it...How it works...There's more...See alsoDetecting outliers using a z-scoreHow to do it...How it works...There's more...See alsoDetecting outliers using a modified z-scoreHow to do it...How it works...There's more...See also

Technical requirementsPlotting time series data using pandasGetting readyHow to do it…How it works…There's more…See alsoPlotting time series data with interactive visualizations using hvPlot Getting readyHow to do it…How it works…There's more…See alsoDecomposing time series dataGetting readyHow to do it…How it works…There's more…See alsoDetecting time series stationarityGetting readyHow to do it…How it works…There's more…See alsoApplying power transformations Getting readyHow to do it…How it works…There's more...See alsoTesting for autocorrelation in time series dataGetting readyHow to do it…How it works…There's more...See also
Technical requirementsPlotting ACF and PACFHow to do it…How it works…There's more...See alsoForecasting univariate time series data with exponential smoothingHow to do it…How it works…There's more…See alsoForecasting univariate time series data with non-seasonal ARIMAGetting readyHow to do it…How it works…There's more…See alsoForecasting univariate time series data with seasonal ARIMAHow to do it…How it works…There's more…See also
Technical requirementsForecasting time series data using auto_arimaGetting readyHow to do it…How it works…There's more…See alsoForecasting time series data using Facebook ProphetGetting readyHow to do it…How it works…There's more…See alsoForecasting multivariate time series data using VARHow to do it…How it works…There's more…See also...Evaluating vector autoregressive (VAR) modelsHow to do it...How it works...There's more...See also…Forecasting volatility in financial time series data with GARCHGetting readyHow to do it…How it works…There's more...See also
Technical requirementsUnderstanding supervised machine learningPreparing time series data for supervised learningHow to do it…How it works...There's more...See alsoOne-step forecasting using linear regression models with scikit-learnHow to do it...How it works...There's more...See alsoMulti-step forecasting using linear regression models with scikit-learnHow to do it...How it works...There's more…See alsoForecasting using non-linear models with sktimeHow to do it...How it works...There's more...See alsoOptimizing a forecasting model with hyperparameter tuning Getting readyHow to do it...How it works...There's more...See alsoForecasting with exogenous variables and ensemble learning Getting readyHow to do it...How it works...There's more...See also
Technical requirementsInstalling the deep learning librariesUnderstanding artificial neural networksForecasting with an RNN using KerasHow to do it...How it works...There's more...See alsoForecasting with LSTM using KerasHow to do it...How it works...There's more...See alsoForecasting with a GRU using KerasHow to do it...How it works...There's more...See alsoForecasting with an RNN using PyTorchGetting readyHow to do it...How it works...There's more...See alsoForecasting with LSTM using PyTorchHow to do it...How it works...There's more...See alsoForecasting with a GRU using PyTorchHow to do it...How it works...There's more...See also
Technical requirementsDetecting outliers using KNNHow to do it...How it works...There's more...See alsoDetecting outliers using LOFHow to do it...How it works...There's more...See alsoDetecting outliers using iForestHow to do it...How it works...There's more...See alsoDetecting outliers using One-Class Support Vector Machine (OCSVM)How to do it...How it works...There's more...See alsoDetecting outliers using COPODHow to do it...How it works...There's more...See alsoDetecting outliers with PyCaretGetting readyHow to do it...How it works...See also
Technical requirementsUnderstanding state-space modelsDecomposing time series with multiple seasonal patterns using MSTLGetting readyHow to do it...How it works...There's more...See alsoForecasting with multiple seasonal patterns using the Unobserved Components Model (UCM)How to do it...How it works...There's more... See alsoForecasting time series with multiple seasonal patterns using ProphetHow to do it...How it works...There's more...See alsoForecasting time series with multiple seasonal patterns using NeuralProphetGetting readyHow to do it...How it works...There's more...See also
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Content preview from Time Series Analysis with Python Cookbook

Building Univariate Time Series Models Using Statistical Methods

In Chapter 9, Exploratory Data Analysis and Diagnosis, you were introduced to several concepts to help you understand the time series process. Such recipes included Decomposing time series data, Detecting time series stationarity, Applying power transformations, and Testing for autocorrelation in time series data. These techniques will come in handy in the statistical modeling approach that will be discussed in this chapter.

When working with time series data, different methods and models can be used, depending on whether the time series is univariate or multivariate, seasonal or non-seasonal, stationary or non-stationary, and linear or nonlinear. If you list the assumptions ...