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Modern Time Series Forecasting with Python
Modern Time Series Forecasting with Python

Modern Time Series Forecasting with Python: Industry-ready machine learning and deep learning time series analysis with PyTorch and pandas , Second Edition

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Profile Icon Manu Joseph Profile Icon Jeffrey Tackes
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Paperback Oct 2024 658 pages 2nd Edition
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Arrow left icon
Profile Icon Manu Joseph Profile Icon Jeffrey Tackes
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€43.99
Paperback Oct 2024 658 pages 2nd Edition
eBook
€8.99 €34.99
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eBook
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Modern Time Series Forecasting with Python

Introducing Time Series

Welcome to Modern Time Series Forecasting with Python! This book is intended for data scientists or machine learning (ML) engineers who want to level up their time series analysis skills by learning new and advanced techniques from the ML world. Time series analysis is something that is commonly overlooked in regular ML books, courses, and so on. They typically start with classification, touch upon regression, and then move on. But it is also something that is immensely valuable and ubiquitous in business. We look at the world from a three-dimensional perspective. Time is the hidden dimension that we rarely think about, but is all-pervasive. And as long as time is one of the four dimensions in the world we live in, time series data is all-pervasive too.

Analyzing time series data unlocks a lot of value for a business. Time series analysis isn’t new—it’s been around since the 1920s. But in the current age of data, the time series that...

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https://packt.link/EarlyAccess/

Welcome to Modern Time Series Forecasting with Python! This book is intended for data scientists or machine learning (ML) engineers who want to level up their time series analysis skills by learning new and advanced techniques from the ML world. Time series analysis is something that is commonly overlooked in regular ML books, courses, and so on. They typically start with classification, touch upon regression, and then move on. But it is also something that is immensely valuable and ubiquitous in business. We look at the world in a three-dimensional perspective. But time is the hidden dimension which we rarely think about, but is all-pervasive. And as long as time is one of the four dimensions in the world we live in, time series data is all-pervasive.

Analyzing time series data unlocks a lot of value for a business. Time series analysis isn't new—it's been around since the 1920s. But in the current...

Technical requirements

You will need to set up the Anaconda environment following the instructions in the Preface of the book to get a working environment with all the libraries and datasets required for the code in this book. Any additional library will be installed while running the notebooks.

The associated code for the chapter can be found at https://github.com/PacktPublishing/Modern-Time-Series-Forecasting-with-Python-/tree/main/notebooks/Chapter01.

What is a time series?

To keep it simple, a time series is a set of observations taken sequentially in time. The focus is on the word time. If we keep taking the same observation at different points in time, we will get a time series. For example, if you keep recording the number of bars of chocolate you have in a month, you'll end up with a time series of your chocolate consumption. Suppose you are recording your weight at the beginning of every month. You get another time series of your weight. Is there any relation between the two time series? Most likely, yeah. But we can analyze that scientifically by the end of this book.

A few other examples of time series are the weekly closing price of a stock that you follow, daily rainfall or snow in your city, or hourly readings of your heartbeat from your smartwatch.

Types of time series

There are two types of time series data based on time-intervals, as outlined here:

Regular time series: This is the most common type of time series...

Data-generating process (DGP)

We saw that time series data is a collection of observations made sequentially along the time dimension. Any time series is, in turn, generated by some kind of mechanism. For example, time series data of daily shipments of your favorite chocolate from the manufacturing plant is affected by a lot of factors such as the time of the year, the holiday season, the availability of cocoa, the uptime of the machines working on the plant, and so on. In statistics, this underlying process that generated the time series is referred to as the DGP. Time series data is produced by stochastic and deterministic process. The deterministic processes involve quantities that evolve in a predictable manner over time. An example of this is the radioactive decay of an element, where the remaining quantity diminishes according to a precise mathematical formula, leading to a consistent reduction over time. But most of the interesting time series (from a forecasting perspective) are...

What can we forecast?

Before we move ahead, there is another aspect of time series forecasting that we have to understand—the predictability of a time series. The most basic assumption when we forecast a time series is that the future depends on the past. But not all time series are equally predictable.

Let's take a look at a few examples and try to rank these in order of predictability (from easiest to hardest), as follows:

  • High tide next Monday
  • Lottery numbers next Sunday
  • The stock price of Tesla next Friday

Intuitively, it is very easy for us to rank them. High tide next Monday is going to be the easiest to predict because it is so predictable, the lottery numbers are going to be very hard to predict because these are pretty much random, and the stock price of Tesla next Friday is going to be difficult to predict, but not impossible.

NOTE

However, for people thinking that they can forecast stock prices with the advanced techniques covered in the book and get rich, that...

Forecasting terminology

There are a few terminologies that will help you follow the book as well as other literature on time series. These are described in more detail here:

  • Forecasting

Forecasting is the prediction of future values of a time series using the known past values of the time series and/or some other related variables. This is very similar to prediction in ML where we use a model to predict unseen data.

  • Multivariate forecasting

Multivariate time series consist of more than one time series variable that is not only dependent on its past values but also has some dependency on the other variables. For example, a set of macroeconomic indicators such as gross domestic product (GDP), inflation, and so on of a particular country can be considered as a multivariate time series. The aim of multivariate forecasting is to come up with a model that captures the interrelationship between the different variables along with its relationship with its past and forecast all the time series...

Summary

We had our first dip into time series as we understood the different types of time series, looked at how a DGP generates a time series, and saw how we can think about the important question: How well can we forecast a time series? We also had a quick review of the terminology and notation required to understand the rest of the book. In the next chapter, we will be getting our hands dirty and will learn how to work with time series data, how to preprocess a time series, how to handle missing data and outliers, and so on. If you have not set up the environment yet, take a break and put some time into doing that.

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Key benefits

  • Apply ML and global models to improve forecasting accuracy through practical examples
  • Enhance your time series toolkit by using deep learning models, including RNNs, transformers, and N-BEATS
  • Learn probabilistic forecasting with conformal prediction, Monte Carlo dropout, and quantile regressions
  • Purchase of the print or Kindle book includes a free eBook in PDF format

Description

Predicting the future, whether it's market trends, energy demand, or website traffic, has never been more crucial. This practical, hands-on guide empowers you to build and deploy powerful time series forecasting models. Whether you’re working with traditional statistical methods or cutting-edge deep learning architectures, this book provides structured learning and best practices for both. Starting with the basics, this data science book introduces fundamental time series concepts, such as ARIMA and exponential smoothing, before gradually progressing to advanced topics, such as machine learning for time series, deep neural networks, and transformers. As part of your fundamentals training, you’ll learn preprocessing, feature engineering, and model evaluation. As you progress, you’ll also explore global forecasting models, ensemble methods, and probabilistic forecasting techniques. This new edition goes deeper into transformer architectures and probabilistic forecasting, including new content on the latest time series models, conformal prediction, and hierarchical forecasting. Whether you seek advanced deep learning insights or specialized architecture implementations, this edition provides practical strategies and new content to elevate your forecasting skills.

Who is this book for?

This book is ideal for data scientists, financial analysts, quantitative analysts, machine learning engineers, and researchers who need to model time-dependent data across industries, such as finance, energy, meteorology, risk analysis, and retail. Whether you are a professional looking to apply cutting-edge models to real-world problems or a student aiming to build a strong foundation in time series analysis and forecasting, this book will provide the tools and techniques you need. Familiarity with Python and basic machine learning concepts is recommended.

What you will learn

  • Build machine learning models for regression-based time series forecasting
  • Apply powerful feature engineering techniques to enhance prediction accuracy
  • Tackle common challenges like non-stationarity and seasonality
  • Combine multiple forecasts using ensembling and stacking for superior results
  • Explore cutting-edge advancements in probabilistic forecasting and handle intermittent or sparse time series
  • Evaluate and validate your forecasts using best practices and statistical metrics
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Table of Contents

25 Chapters
Part-1: Getting Familiar with Time Series Chevron down icon Chevron up icon
Introducing Time Series Chevron down icon Chevron up icon
Acquiring and Processing Time Series Data Chevron down icon Chevron up icon
Analyzing and Visualizing Time Series Data Chevron down icon Chevron up icon
Setting a Strong Baseline Forecast Chevron down icon Chevron up icon
Part-2: Machine Learning for Time Series Chevron down icon Chevron up icon
Time Series Forecasting as Regression Chevron down icon Chevron up icon
Feature Engineering for Time Series Forecasting Chevron down icon Chevron up icon
Target Transformations for Time Series Forecasting Chevron down icon Chevron up icon
Forecasting Time Series with Machine Learning Models Chevron down icon Chevron up icon
Ensembling and Stacking Chevron down icon Chevron up icon
Global Forecasting Models Chevron down icon Chevron up icon
Part-3: Deep Learning for Time Series Chevron down icon Chevron up icon
Introduction to Deep Learning Chevron down icon Chevron up icon
Building Blocks of Deep Learning for Time Series Chevron down icon Chevron up icon
Common Modeling Patterns for Time Series Chevron down icon Chevron up icon
Attention and Transformers for Time Series Chevron down icon Chevron up icon
Strategies for Global Deep Learning Forecasting Models Chevron down icon Chevron up icon
Specialized Deep Learning Architectures for Forecasting Chevron down icon Chevron up icon
Probabilistic Forecasting and More Chevron down icon Chevron up icon
Part-4: Mechanics of Forecasting Chevron down icon Chevron up icon
Multi-Step Forecasting Chevron down icon Chevron up icon
Evaluating Forecast Errors—A Survey of Forecast Metrics Chevron down icon Chevron up icon
Evaluating Forecasts—Validation Strategies Chevron down icon Chevron up icon
Index Chevron down icon Chevron up icon
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