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E-raamat: Practical Time Series Analysis: Prediction with Statistics and Machine Learning

  • Formaat: 504 pages
  • Ilmumisaeg: 20-Sep-2019
  • Kirjastus: O'Reilly Media
  • Keel: eng
  • ISBN-13: 9781492041603
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  • Formaat: 504 pages
  • Ilmumisaeg: 20-Sep-2019
  • Kirjastus: O'Reilly Media
  • Keel: eng
  • ISBN-13: 9781492041603
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Time series data analysis is increasingly important due to the massive production of such data through the internet of things, the digitalization of healthcare, and the rise of smart cities. As continuous monitoring and data collection become more common, the need for competent time series analysis with both statistical and machine learning techniques will increase.

Covering innovations in time series data analysis and use cases from the real world, this practical guide will help you solve the most common data engineering and analysis challenges in time series, using both traditional statistical and modern machine learning techniques. Author Aileen Nielsen offers an accessible, well-rounded introduction to time series in both R and Python that will have data scientists, software engineers, and researchers up and running quickly.

Youll get the guidance you need to confidently:

Find and wrangle time series data Undertake exploratory time series data analysis Store temporal data Simulate time series data Generate and select features for a time series Measure error Forecast and classify time series with machine or deep learning Evaluate accuracy and performance
Preface ix
1 Time Series: An Overview and a Quick History 1(16)
The History of Time Series in Diverse Applications
2(8)
Medicine as a Time Series Problem
2(4)
Forecasting Weather
6(1)
Forecasting Economic Growth
7(2)
Astronomy
9(1)
Time Series Analysis Takes Off
10(2)
The Origins of Statistical Time Series Analysis
12(1)
The Origins of Machine Learning Time Series Analysis
13(1)
More Resources
13(4)
2 Finding and Wrangling Time Series Data 17(56)
Where to Find Time Series Data
18(8)
Prepared Data Sets
18(7)
Found Time Series
25(1)
Retrofitting a Time Series Data Collection from a Collection of Tables
26(9)
A Worked Example: Assembling a Time Series Data Collection
27(6)
Constructing a Found Time Series
33(2)
Timestamping Troubles
35(5)
Whose Timestamp?
35(1)
Guesstimating Timestamps to Make Sense of Data
36(3)
What's a Meaningful Time Scale?
39(1)
Cleaning Your Data
40(20)
Handling Missing Data
40(12)
Upsampling and Downsampling
52(3)
Smoothing Data
55(5)
Seasonal Data
60(3)
Time Zones
63(4)
Preventing Lookahead
67(2)
More Resources
69(4)
3 Exploratory Data Analysis for Time Series 73(46)
Familiar Methods
73(8)
Plotting
74(3)
Histograms
77(1)
Scatter Plots
78(3)
Time Series-Specific Exploratory Methods
81(23)
Understanding Stationarity
82(4)
Applying Window Functions
86(5)
Understanding and Identifying Self-Correlation
91(11)
Spurious Correlations
102(2)
Some Useful Visualizations
104(13)
1D Visualizations
104(1)
2D Visualizations
105(8)
3D Visualizations
113(4)
More Resources
117(2)
4 Simulating Time Series Data 119(24)
What's Special About Simulating Time Series?
120(1)
Simulation Versus Forecasting
121(1)
Simulations in Code
121(19)
Doing the Work Yourself
122(6)
Building a Simulation Universe That Runs Itself
128(6)
A Physics Simulation
134(6)
Final Notes on Simulations
140(2)
Statistical Simulations
141(1)
Deep Learning Simulations
141(1)
More Resources
142(1)
5 Storing Temporal Data 143(20)
Defining Requirements
145(3)
Live Data Versus Stored Data
146(2)
Database Solutions
148(9)
SQL Versus NoSQL
149(3)
Popular Time Series Database and File Solutions
152(5)
File Solutions
157(3)
NumPy
158(1)
Pandas
158(1)
Standard R Equivalents
158(1)
Xarray
159(1)
More Resources
160(3)
6 Statistical Models for Time Series 163(44)
Why Not Use a Linear Regression?
163(3)
Statistical Methods Developed for Time Series
166(37)
Autoregressive Models
166(15)
Moving Average Models
181(5)
Autoregressive Integrated Moving Average Models
186(10)
Vector Autoregression
196(5)
Variations on Statistical Models
201(2)
Advantages and Disadvantages of Statistical Methods for Time Series
203(1)
More Resources
204(3)
7 State Space Models for Time Series 207(32)
State Space Models: Pluses and Minuses
209(1)
The Kalman Filter
210(8)
Overview
210(2)
Code for the Kalman Filter
212(6)
Hidden Markov Models
218(11)
How the Model Works
218(2)
How We Fit the Model
220(4)
Fitting an HMM in Code
224(5)
Bayesian Structural Time Series
229(6)
Code for bsts
230(5)
More Resources
235(4)
8 Generating and Selecting Features for a Time Series 239(20)
Introductory Example
240(1)
General Considerations When Computing Features
241(2)
The Nature of the Time Series
242(1)
Domain Knowledge
242(1)
External Considerations
243(1)
A Catalog of Places to Find Features for Inspiration
243(9)
Open Source Time Series Feature Generation Libraries
244(5)
Domain-Specific Feature Examples
249(3)
How to Select Features Once You Have Generated Them
252(3)
Concluding Thoughts
255(1)
More Resources
256(3)
9 Machine Learning for Time Series 259(30)
Time Series Classification
260(12)
Selecting and Generating Features
260(4)
Decision Tree Methods
264(8)
Clustering
272(15)
Generating Features from the Data
273(7)
Temporally Aware Distance Metrics
280(5)
Clustering Code
285(2)
More Resources
287(2)
10 Deep Learning for Time Series 289(54)
Deep Learning Concepts
292(2)
Programming a Neural Network
294(4)
Data, Symbols, Operations, Layers, and Graphs
294(4)
Building a Training Pipeline
298(20)
Inspecting Our Data Set
299(3)
Steps of a Training Pipeline
302(16)
Feed Forward Networks
318(6)
A Simple Example
318(3)
Using an Attention Mechanism to Make Feed Forward Networks More Time-Aware
321(3)
CNNs
324(6)
A Simple Convolutional Model
325(2)
Alternative Convolutional Models
327(3)
RNNs
330(5)
Continuing Our Electric Example
332(2)
The Autoencoder Innovation
334(1)
Combination Architectures
335(5)
Summing Up
340(1)
More Resources
341(2)
11 Measuring Error 343(14)
The Basics: How to Test Forecasts
344(4)
Model-Specific Considerations for Backtesting
347(1)
When Is Your Forecast Good Enough?
348(2)
Estimating Uncertainty in Your Model with a Simulation
350(3)
Predicting Multiple Steps Ahead
353(2)
Fit Directly to the Horizon of Interest
353(1)
Recursive Approach to Distant Temporal Horizons
354(1)
Multitask Learning Applied to Time Series
354(1)
Model Validation Gotchas
355(1)
More Resources
355(2)
12 Performance Considerations in Fitting and Serving Time Series Models 357(10)
Working with Tools Built for More General Use Cases
358(3)
Models Built for Cross-Sectional Data Don't "Share" Data Across Samples
358(2)
Models That Don't Precompute Create Unnecessary Lag Between Measuring Data and Making a Forecast
360(1)
Data Storage Formats: Pluses and Minuses
361(1)
Store Your Data in a Binary Format
361(1)
Preprocess Your Data in a Way That Allows You to "Slide" Over It
362(1)
Modifying Your Analysis to Suit Performance Considerations
362(3)
Using All Your Data Is Not Necessarily Better
363(1)
Complicated Models Don't Always Do Better Enough
363(1)
A Brief Mention of Alternative High-Performance Tools
364(1)
More Resources
365(2)
13 Healthcare Applications 367(36)
Predicting the Flu
367(17)
A Case Study of Flu in One Metropolitan Area
367(16)
What Is State of the Art in Flu Forecasting?
383(1)
Predicting Blood Glucose Levels
384(17)
Data Cleaning and Exploration
385(5)
Generating Features
390(6)
Fitting a Model
396(5)
More Resources
401(2)
14 Financial Applications 403(22)
Obtaining and Exploring Financial Data
404(6)
Preprocessing Financial Data for Deep Learning
410(13)
Adding Quantities of Interest to Our Raw Values
410(1)
Scaling Quantities of Interest Without a Lookahead
411(2)
Formatting Our Data for a Neural Network
413(3)
Building and Training an RNN
416(7)
More Resources
423(2)
15 Time Series for Government 425(24)
Obtaining Governmental Data
426(2)
Exploring Big Time Series Data
428(8)
Upsample and Aggregate the Data as We Iterate Through It
431(1)
Sort the Data
432(4)
Online Statistical Analysis of Time Series Data
436(11)
Remaining Questions
446(1)
Further Improvements
446(1)
More Resources
447(2)
16 Time Series Packages 449(14)
Forecasting at Scale
449(8)
Google's Industrial In-house Forecasting
450(2)
Facebook's Open Source Prophet Package
452(5)
Anomaly Detection
457(3)
Twitter's Open Source AnomalyDetection Package
457(3)
Other Time Series Packages
460(1)
More Resources
461(2)
17 Forecasts About Forecasting 463(6)
Forecasting as a Service
463(1)
Deep Learning Enhances Probabilistic Possibilities
464(1)
Increasing Importance of Machine Learning Rather Than Statistics
465(1)
Increasing Combination of Statistical and Machine Learning Methodologies
466(1)
More Forecasts for Everyday Life
466(3)
Index 469
Aileen has worked in corporate law, physics research labs, and, most recently, a variety of NYC tech startups. Her interests range from defensive software engineering to UX designs for reducing cognitive load to the interplay between law and technology. Aileen is currently working at an early-stage NYC startup that has something to do with time series data and neural networks. She also serves as chair of the New York City Bar Association's Science and Law committee, which focuses on how the latest developments in science and computing should be regulated and how such developments should inform existing legal practices.

In the recent past, Aileen worked at mobile health platform One Drop and on Hillary Clinton's presidential campaign. She is a frequent speaker at machine learning conferences on both technical and sociological subjects. She holds an A.B. from Princeton University and is A.B.D. in Applied Physics at Columbia University.