Itntroduction to Time Series Analysis
Time-Series refers to data recording at regular intervals of time. Time-Series components involve –
- Trend – It increases, decreases or remains at a constant level with respect to time.
- Seasonality – It is the property of Time -Series to display periodical patterns which repeats at a constant frequency.
- Cycles – They do not repeat at regular time intervals and occur even if the frequency is 1.
Challenges to Time Series Forecasting
- Sensor Data or Stock Market data consists of ~250 variables ‘col1’,’col2’…etc. and the data size is 15 gb.
- Besides this, there are two critical categorical variables named ‘symbol,' ‘categ’ and another variable ‘time.'
- There are 22 unique symbols, and seven unique categ’s in the whole dataset recorded for every minute.
- The target is to forecast ten future values of a column named ‘val’ for each symbol-categ pair.
Solution Offered for Time Series Analysis and Forecasting
Approaches for Time Series Analysis
Approach 1 – Convert Time Series Problem to Supervised Learning Problem.
- Convert Time-Series data to Supervised Learning data.
- Supervised Learning requires the values for all the independent variables.
Approach 2 – Using VAR(Vector Autoregression) Model.
- It is an extension of the one dimensional Autoregressive Method. The advantage of this method is, no need to convert the Time Series Data to Supervised Learning Data.
- Get the predictions for future values from the model itself. The model considers the interdependencies in the data.