You're reading from Modern Time Series Forecasting with Python

Product type Book

Published in Nov 2022

Publisher Packt

ISBN-13 9781803246802

Pages 552 pages

Edition 1st Edition

Languages

Concepts

Data Science

Author (1):

Manu Joseph

Table of Contents (26) Chapters

Preface

1. Part 1 – Getting Familiar with Time Series

2. Chapter 1: Introducing Time Series

3. Chapter 2: Acquiring and Processing Time Series Data

4. Chapter 3: Analyzing and Visualizing Time Series Data

5. Chapter 4: Setting a Strong Baseline Forecast

6. Part 2 – Machine Learning for Time Series

7. Chapter 5: Time Series Forecasting as Regression

8. Chapter 6: Feature Engineering for Time Series Forecasting

9. Chapter 7: Target Transformations for Time Series Forecasting

10. Chapter 8: Forecasting Time Series with Machine Learning Models

11. Chapter 9: Ensembling and Stacking

12. Chapter 10: Global Forecasting Models

13. Part 3 – Deep Learning for Time Series

14. Chapter 11: Introduction to Deep Learning

15. Chapter 12: Building Blocks of Deep Learning for Time Series

16. Chapter 13: Common Modeling Patterns for Time Series

17. Chapter 14: Attention and Transformers for Time Series

18. Chapter 15: Strategies for Global Deep Learning Forecasting Models

19. Chapter 16: Specialized Deep Learning Architectures for Forecasting

20. Part 4 – Mechanics of Forecasting

21. Chapter 17: Multi-Step Forecasting

22. Chapter 18: Evaluating Forecasts – Forecast Metrics

23. Chapter 19: Evaluating Forecasts – Validation Strategies

24. Index

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Generating single-step forecast baselines

We reviewed and generated a few baseline models back in Chapter 4, Setting a Strong Baseline Forecast. But there is a small issue – the prediction horizon. In Chapter 6, Feature Engineering for Time Series Forecasting, we talked about how the machine learning model can only predict one target at a time and that we are sticking with a single-step forecast. The baselines we generated earlier were not single-step, but multi-step. Generating a single-step forecast for baseline algorithms such as ARIMA or ETS requires us to fit on history, predict one step ahead, and then fit again using one more day. Predicting in such an iterative fashion for our test or validation period requires us to do this iteration ~1,440 times (48 data points a day for 30 days) and repeat this for all the households in our selected dataset (150, in our case). This would take quite a long time to compute.

We have chosen the naïve method and seasonal naï...