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Forecasting: Principles and Practice
- Ftuuky 8y agoWhat would you all recommend as a good book in forecasting and time series analysis using Python?
- natalyarostova 8y agoThere isn't really one.
- rogue7 8y agoNot a book but a nice article: https://tomaugspurger.github.io/modern-7-timeseries https://tomaugspurger.github.io/modern-7-timeseries He points to books (including this one) as well as python libraries in the "Resources" section at the end.
- FranzFerdiNaN 8y agoThis is one of those times when R simply outshines Python. Statisticians mostly use R, so they teach with R and write books that use R and create R packages when they develop new methods. It's why it's worth knowing both.
- asavinov 8y agoThe book focuses on classical (statistical) methods of forecasting. In this sense, it provides the fundamental notions needed to deal with practical problems. Real world problems are much more complicated and first of all because of the natural of source data which is not limited by univariate numeric data. In most practical cases the success depends on the ability to extract (manually or automatically) good features from heterogeneous data sources. There exist the following frameworks for that purpose: o https://github.com/asavinov/lambdo https://github.com/asavinov/lambdo - Combines feature engineering and data mining with strong focus on time series analysis o https://github.com/blue-yonder/tsfresh https://github.com/blue-yonder/tsfresh - Automatically extract informative features (also from time series)
- natalyarostova 8y agoThe feature stuff works for time series classification. But still doesn't help with forecasting more than one step ahead.
- jdewsnip 8y agoIf you are interested in forecasting then the Makridakis competitions are worth taking a look at. * https://en.wikipedia.org/wiki/Makridakis_Competitions https://en.wikipedia.org/wiki/Makridakis_Competitions * https://www.researchgate.net/publication/325901666/download https://www.researchgate.net/publication/325901666/download * https://github.com/M4Competition/M4-methods https://github.com/M4Competition/M4-methods * https://journals.plos.org/plosone/article/file?type=printable&id=10.1371/journal.pone.0194889 https://journals.plos.org/plosone/article/file?type=printabl... * https://eng.uber.com/m4-forecasting-competition/ https://eng.uber.com/m4-forecasting-competition/
- ryanmonroe 8y agoFYI the authors of this book are authors of the "forecast" R package (used in the book, but also popular in general) https://github.com/robjhyndman/forecast https://github.com/robjhyndman/forecast
- monkeydust 8y agoDo people rate the Facebook prophet library for time series forecasting?
- amrrs 8y ago`prophet` is a really good library for time series forecasting. It's especially useful when speed matters where you create an Rshiny forecasting tool. It's not always the best result though. Sometimes a simple exponential smoothing could give a better result too.
- knbknb 8y agoOne of the authors, Prof. Hyndman, was also a moderator on stats.stackexchange.com . See https://stats.stackexchange.com/users/159/rob-hyndman https://stats.stackexchange.com/users/159/rob-hyndman