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Modern Time Series Forecasting with Python

You're reading from   Modern Time Series Forecasting with Python Industry-ready machine learning and deep learning time series analysis with PyTorch and pandas

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Product type Paperback
Published in Oct 2024
Publisher Packt
ISBN-13 9781835883181
Length 658 pages
Edition 2nd Edition
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Authors (2):
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Jeffrey Tackes Jeffrey Tackes
Author Profile Icon Jeffrey Tackes
Jeffrey Tackes
Manu Joseph Manu Joseph
Author Profile Icon Manu Joseph
Manu Joseph
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Toc

Table of Contents (26) Chapters Close

Preface 1. Part-1: Getting Familiar with Time Series FREE CHAPTER
2. Introducing Time Series 3. Acquiring and Processing Time Series Data 4. Analyzing and Visualizing Time Series Data 5. Setting a Strong Baseline Forecast 6. Part-2: Machine Learning for Time Series
7. Time Series Forecasting as Regression 8. Feature Engineering for Time Series Forecasting 9. Target Transformations for Time Series Forecasting 10. Forecasting Time Series with Machine Learning Models 11. Ensembling and Stacking 12. Global Forecasting Models 13. Part-3: Deep Learning for Time Series
14. Introduction to Deep Learning 15. Building Blocks of Deep Learning for Time Series 16. Common Modeling Patterns for Time Series 17. Attention and Transformers for Time Series 18. Strategies for Global Deep Learning Forecasting Models 19. Specialized Deep Learning Architectures for Forecasting 20. Probabilistic Forecasting and More 21. Part-4: Mechanics of Forecasting
22. Multi-Step Forecasting 23. Evaluating Forecast Errors—A Survey of Forecast Metrics 24. Evaluating Forecasts—Validation Strategies 25. Index

Long short-term memory (LSTM) networks

Hochreiter and Schmidhuber proposed a modification of the classical RNNs in 1997—LSTM networks. It aimed to resolve the vanishing and exploding gradients in vanilla RNNs. The design of the LSTM was inspired by the logic gates of a computer. It introduces a new component, called a memory cell, which serves as long-term memory and is used in addition to the hidden-state memory of classical RNNs. In an LSTM, multiple gates are tasked with reading, adding, and forgetting information from these memory cells. This memory cell acts as a gradient highway, allowing the gateways to pass relatively unhindered through a network. This is the key innovation that avoided vanishing gradients in RNNs.

LSTM architecture

Let’s imagine that the input to the LSTM at time t is xt, and the hidden state from the previous timestep is Ht-1. Now, there are three gates that process information. Each gate is nothing but two learnable weight matrices...

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