Time Series Clustering With Scikit-Learn

Clustering is an unsupervised learning technique that can help you uncover hidden patterns in your time series data. Scikit-learn has a wide range of clustering algorithms, including K-means, DBSCAN, and Agglomerative Clustering. In this tutorial, we’ll explore how to use K-means with different transformations to cluster time series data. Using the right data transformations can help you get your desired results faster than just trying different clustering algorithms over the same data....

March 17, 2023 · 11 min · Mario Filho

Multi-Step Time Series Forecasting In Python

In this tutorial, I will explain two (and a half) methods to generate multi-step forecasts using time series data. They are the recursive or autoregressive method, the direct method, and a variant of the direct method with a single model. Table of Contents Preparing the Data Recursive Or Autoregressive Method In Pure Python Recursive Or Autoregressive Method With SKForecast Direct Method Direct Method With SKForecast Direct Method With a Single Model Direct Method With Horizon As A Feature Which Multi-Step Forecasting Method Is Best?...

March 7, 2023 · 8 min · Mario Filho

Multivariate Time Series Forecasting in Python

In this article, we’ll explore how to use scikit-learn with mlforecast to train multivariate time series models in Python. Instead of wasting time and making mistakes in manual data preparation, let’s use the mlforecast library. It has tools that transform our raw time series data into the correct format for training and prediction with scikit-learn. It computes the main features we want when modeling time series, such as aggregations over sliding windows, lags, differences, etc....

February 25, 2023 · 11 min · Mario Filho

Volatility Forecasting In Python

In this blog post, we will explore how we can use Python to forecast volatility using three methods: Naive, the popular GARCH and machine learning with scikit-learn. Volatility here is the standard deviation of the returns of a financial instrument. I will teach you starting points to kickstart your own research. Table of Contents Installing ARCH and mlforecast Preparing The Data For Volatility Forecasting Naive Volatility Forecasting GARCH For Volatility Forecasting Volatility Forecasting With Scikit-Learn Installing ARCH and mlforecast First we need to install the required packages....

February 18, 2023 · 9 min · Mario Filho

Multiple Time Series Forecasting With Scikit-learn

Forecasting time series is a very common task in the daily life of a data scientist. It can be predicting future demand for a product, city traffic or even the weather. With accurate time series forecasts, companies can adjust their production strategies, inventory management, resource allocation and other key decisions, leading to significant cost reduction and increased efficiency. Furthermore, forecasts also allow companies to be more proactive rather than reactive, anticipating market trends and adjusting their strategies accordingly....

February 8, 2023 · 15 min · Mario Filho