Timeseries kinds and applications

Machine Learning for Time Series Data in Python

Chris Holdgraf

Fellow, Berkeley Institute for Data Science

Time Series

Machine Learning for Time Series Data in Python

Time Series

Machine Learning for Time Series Data in Python

What makes a time series?

Datapoint Datapoint Datapoint Datapoint Datapoint Datapoint
1 34 12 54 76 40

Timepoint Timepoint Timepoint Timepoint Timepoint Timepoint
2:00 2:01 2:02 2:03 2:04 2:05

Timepoint Timepoint Timepoint Timepoint Timepoint Timepoint
Jan Feb March April May Jun

Timepoint Timepoint Timepoint Timepoint Timepoint Timepoint
1e-9 2e-9 3e-9 4e-9 5e-9 6e-9

Machine Learning for Time Series Data in Python

Reading in a time series with Pandas

import pandas as pd
import matplotlib.pyplot as plt
data = pd.read_csv('data.csv')
data.head()

          date symbol       close       volume
0   2010-01-04   AAPL  214.009998  123432400.0
46  2010-01-05   AAPL  214.379993  150476200.0
92  2010-01-06   AAPL  210.969995  138040000.0
138 2010-01-07   AAPL  210.580000  119282800.0
184 2010-01-08   AAPL  211.980005  111902700.0
Machine Learning for Time Series Data in Python

Plotting a pandas timeseries

import matplotlib.pyplot as plt
fig, ax = plt.subplots(figsize=(12, 6))
data.plot('date', 'close', ax=ax)
ax.set(title="AAPL daily closing price")
Machine Learning for Time Series Data in Python

A timeseries plot

Machine Learning for Time Series Data in Python

Why machine learning?

We can use really big data and really complicated data

Machine Learning for Time Series Data in Python

Why machine learning?

We can...

  • Predict the future
  • Automate this process

Machine Learning for Time Series Data in Python

Why combine these two?

Machine Learning for Time Series Data in Python

A machine learning pipeline

  • Feature extraction
  • Model fitting
  • Prediction and validation
Machine Learning for Time Series Data in Python

Let's practice!

Machine Learning for Time Series Data in Python

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