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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Time series forecasting as regression

A time series, as we saw in Chapter 1, Introducing Time Series, is a set of observations taken sequentially in time. And typically, time series forecasting is about trying to predict what these observations will be in the future. Given a sequence of observations of arbitrary length of history, we predict the future to an arbitrary horizon.

We saw that regression, or machine learning to predict a continuous variable, works on a dataset of examples, and each example is a set of input features and targets. We can see that regression, which is tasked with predicting a single output provided with a set of inputs, is fundamentally incompatible with forecasting, where we are given a set of historical values and asked to predict the future values. This fundamental incompatibility between the time series and machine learning regression paradigms is why we cannot use regression for time series forecasting directly.

Moreover, time series forecasting...