4 ms·

The explosion in time series forecasting packages in data science

22 points by sebg 2y ago

teruakohatu 2y ago
The sad reality is that many/most people trying to perform forecasting don’t really understand how the models work and the limitations, let alone how to test a time series model. I tend to avoid inter disciplinary forecasting research because participants from other disciplines can’t understand or don’t want to know about the limitations and push ahead regardless.
- bubblyworld 2y ago
  Would you be willing to share some resources on testing time series models? I'm in the "many people" boat right now with gradient boosting, and that kind of thing sounds super interesting. Hard to know where to start as an outsider.
  - beryilma 2y ago
    Not the OP. I find the clasic Time Series Analysis book of Box & Jenkins to be a good starting point for "basic" time series forecasting. And even that book is a difficult read: pleasant book but the theory and concepts are still hard. A deep understanding of stationary signals is a must for time series forecasting which is pretty hard to grok in my limited experience.
    - bubblyworld 2y ago
      Thanks! Much appreciated. That sounds like exactly what I need right now.
deleted 2y ago
[deleted]
jpn 2y ago
Let's not ignore AutoGluon: https://auto.gluon.ai/stable/tutorials/timeseries/index.html https://auto.gluon.ai/stable/tutorials/timeseries/index.html
jpn 2y ago
Also Peter Cotton has done some good work comparing these various packages. He has a wrapper for all of these: https://github.com/microprediction/timemachines https://github.com/microprediction/timemachines And he compares their performances against each other: https://microprediction.github.io/timeseries-elo-ratings/html_leaderboards/overall.html https://microprediction.github.io/timeseries-elo-ratings/htm...
xtiansimon 2y ago
> “…we’re going to focus more on forecasting than, say, classification or anomaly detection—though a lot of the libraries below offer these features too.” Doing some weekend warrior hacking in the accounting space. Reading this passage, I’m wondering if I could expect these packages to help with reconciliations--namely, multiple system reports for sales Vs. deposits and fees…?? Right? If you're going to forecast, then you could certainly apply the same to more-likely-than-not matching.
vhvj 2y ago
[dead]

22 points by sebg 2y ago

The sad reality is that many/most people trying to perform forecasting don’t really understand how the models work and the limitations, let alone how to test a time series model. I tend to avoid inter disciplinary forecasting research because participants from other disciplines can’t understand or don’t want to know about the limitations and push ahead regardless.

bubblyworld 2y ago
Would you be willing to share some resources on testing time series models? I'm in the "many people" boat right now with gradient boosting, and that kind of thing sounds super interesting. Hard to know where to start as an outsider.
- beryilma 2y ago
  Not the OP. I find the clasic Time Series Analysis book of Box & Jenkins to be a good starting point for "basic" time series forecasting. And even that book is a difficult read: pleasant book but the theory and concepts are still hard. A deep understanding of stationary signals is a must for time series forecasting which is pretty hard to grok in my limited experience.
  - bubblyworld 2y ago
    Thanks! Much appreciated. That sounds like exactly what I need right now.

deleted 2y ago

[deleted]

jpn 2y ago

Let's not ignore AutoGluon: https://auto.gluon.ai/stable/tutorials/timeseries/index.html https://auto.gluon.ai/stable/tutorials/timeseries/index.html

jpn 2y ago

Also Peter Cotton has done some good work comparing these various packages. He has a wrapper for all of these: https://github.com/microprediction/timemachines https://github.com/microprediction/timemachines And he compares their performances against each other: https://microprediction.github.io/timeseries-elo-ratings/html_leaderboards/overall.html https://microprediction.github.io/timeseries-elo-ratings/htm...

xtiansimon 2y ago

> “…we’re going to focus more on forecasting than, say, classification or anomaly detection—though a lot of the libraries below offer these features too.” Doing some weekend warrior hacking in the accounting space. Reading this passage, I’m wondering if I could expect these packages to help with reconciliations--namely, multiple system reports for sales Vs. deposits and fees…?? Right? If you're going to forecast, then you could certainly apply the same to more-likely-than-not matching.

vhvj 2y ago

[dead]