Time Series Data Processing and Modeling
The availability of large quantity of cheap sensors brought forth by the so called “Internet of Things” has resulted in an explosion of the amounts of time varying data. Understanding how to mine, process and analyze such data will only to become an ever more important skill in any data scientists toolkit.
In this lecture, we will work through the entire process of how to analyze and model time series data, how to detect and extract trend and seasonality effects and how to implement the ARIMA class of forecasting models. Both real and synthetic datasets will be used to illustrate the different kinds of models and their underlying assumptions.
Seasons and Cycles
Processing Timeseries data
Timeseries transformations (diff, lag, sqrt, etc)
Autocorrelations and Partial Autocorrelation Function
Correlations of 2 timeseries
Auto-regressive models (AR)
Moving Averages (MA)
Fitting ARIMA models
Seasonal ARIMA models