12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

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11 Classical Time Series Forecasting Methods in

Python (Cheat Sheet)
by Jason Brownlee on August 6, 2018 in Time Series

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Machine learning methods can be used for classification and forecasting on time series problems.

Before exploring machine learning methods for time series, it is a good idea to ensure you have exhausted
classical linear time series forecasting methods. Classical time series forecasting methods may be focused
on linear relationships, nevertheless, they are sophisticated and perform well on a wide range of problems,
assuming that your data is suitably prepared and the method is well configured.

In this post, will you will discover a suite of classical methods for time series forecasting that you can test
on your forecasting problem prior to exploring to machine learning methods.

The post is structured as a cheat sheet to give you just enough information on each method to get started
with a working code example and where to look to get more Your Start on
information inthe
Machine
method.
×
Learning
All code examples are in Python and use the Statsmodels library. The APIs for this library can be tricky for
beginners (trust me!), so having a working code exampleYou
as a starting
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progress. without the math or fancy degree.
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

Photo by Ron Reiring, some rights reserved.

Overview
This cheat sheet demonstrates 11 different classical time series forecasting methods; they are:

1. Autoregression (AR)
2. Moving Average (MA)
3. Autoregressive Moving Average (ARMA)
4. Autoregressive Integrated Moving Average (ARIMA)
5. Seasonal Autoregressive Integrated Moving-AverageYour
(SARIMA)Start in Machine ×
6. Seasonal Autoregressive Integrated Moving-AverageLearning
with Exogenous Regressors (SARIMAX)
7. Vector Autoregression (VAR)
8. Vector Autoregression Moving-Average (VARMA) You can master applied Machine Learning
9. without
Vector Autoregression Moving-Average with Exogenous the math or
Regressors fancy degree.
(VARMAX)
10. Simple Exponential Smoothing (SES) Find out how in this free and practical email
Your Start in Machine Learning
course.
11. Holt Winter’s Exponential Smoothing (HWES)

Did I miss your favorite classical time series forecasting method?

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Each method is presented in a consistent manner.
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This includes:
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Description. A short and precise description of the technique.
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

Python Code. A short working example of fitting the model and making a prediction in Python.
More Information. References for the API and the algorithm.

Each code example is demonstrated on a simple contrived dataset that may or may not be appropriate for
the method. Replace the contrived dataset with your data in order to test the method.

Remember: each method will require tuning to your specific problem. In many cases, I have examples of
how to configure and even grid search parameters on the blog already, try the search function.

If you find this cheat sheet useful, please let me know in the comments below.

Autoregression (AR)
The autoregression (AR) method models the next step in the sequence as a linear function of the
observations at prior time steps.

The notation for the model involves specifying the order of the model p as a parameter to the AR function,
e.g. AR(p). For example, AR(1) is a first-order autoregression model.

The method is suitable for univariate time series without trend and seasonal components.

Python Code
1 # AR example
2 from statsmodels.tsa.ar_model import AR
3 from random import random
4 # contrived dataset
5 data = [x + random() for x in range(1, 100)]
6 # fit model
7 model = AR(data)
8 model_fit = model.fit()
9 # make prediction
10 yhat = model_fit.predict(len(data), len(data))
11 print(yhat)
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More Information Learning
statsmodels.tsa.ar_model.AR API You can master applied Machine Learning
statsmodels.tsa.ar_model.ARResults API without the math or fancy degree.
Autoregressive model on Wikipedia Find out how in this free and practical email
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Moving Average (MA)

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The moving average (MA) method models the next step in the sequence as a linear function of the residual
errors from a mean process at prior time steps. I consent to receive information about
services and special offers by email. For more
A moving average model is different from calculating the information,
moving average of the time series.
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

The notation for the model involves specifying the order of the model q as a parameter to the MA function,
e.g. MA(q). For example, MA(1) is a first-order moving average model.

The method is suitable for univariate time series without trend and seasonal components.

Python Code
We can use the ARMA class to create an MA model and setting a zeroth-order AR model. We must specify
the order of the MA model in the order argument.

1 # MA example
2 from statsmodels.tsa.arima_model import ARMA
3 from random import random
4 # contrived dataset
5 data = [x + random() for x in range(1, 100)]
6 # fit model
7 model = ARMA(data, order=(0, 1))
8 model_fit = model.fit(disp=False)
9 # make prediction
10 yhat = model_fit.predict(len(data), len(data))
11 print(yhat)

More Information
statsmodels.tsa.arima_model.ARMA API
statsmodels.tsa.arima_model.ARMAResults API
Moving-average model on Wikipedia

Autoregressive Moving Average (ARMA)

The Autoregressive Moving Average (ARMA) method models the next step in the sequence as a linear
function of the observations and resiudal errors at prior time steps.

It combines both Autoregression (AR) and Moving Average (MA) models.

Your Start in Machine ×
The notation for the model involves specifying the order for the AR(p) and MA(q) models as parameters to
Learning
an ARMA function, e.g. ARMA(p, q). An ARIMA model can be used to develop AR or MA models.
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The method is suitable for univariate time series without trend and
without theseasonal components.
math or fancy degree.
Find out how in this free and practical email
Python Code Your Start in Machine Learning
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1 # ARMA example
2 from statsmodels.tsa.arima_model import ARMA
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3 from random import random
4 # contrived dataset
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5 data = [random() for x in range(1, 100)]
6 # fit model services and special offers by email. For more
7 model = ARMA(data, order=(2, 1))
8 model_fit = model.fit(disp=False)
information, see the Privacy Policy.
9 # make prediction
10 yhat = model_fit.predict(len(data), len(data)) START MY EMAIL COURSE
11 print(yhat)
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More Information
statsmodels.tsa.arima_model.ARMA API
statsmodels.tsa.arima_model.ARMAResults API
Autoregressive–moving-average model on Wikipedia

Autoregressive Integrated Moving Average (ARIMA)

The Autoregressive Integrated Moving Average (ARIMA) method models the next step in the sequence as
a linear function of the differenced observations and residual errors at prior time steps.

It combines both Autoregression (AR) and Moving Average (MA) models as well as a differencing pre-
processing step of the sequence to make the sequence stationary, called integration (I).

The notation for the model involves specifying the order for the AR(p), I(d), and MA(q) models as
parameters to an ARIMA function, e.g. ARIMA(p, d, q). An ARIMA model can also be used to develop AR,
MA, and ARMA models.

The method is suitable for univariate time series with trend and without seasonal components.

Python Code
1 # ARIMA example
2 from statsmodels.tsa.arima_model import ARIMA
3 from random import random
4 # contrived dataset
5 data = [x + random() for x in range(1, 100)]
6 # fit model
7 model = ARIMA(data, order=(1, 1, 1))
8 model_fit = model.fit(disp=False)
9 # make prediction
10 yhat = model_fit.predict(len(data), len(data), typ='levels')
11 print(yhat)

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More Information
Learning
statsmodels.tsa.arima_model.ARIMA API
statsmodels.tsa.arima_model.ARIMAResults API You can master applied Machine Learning
without the math or fancy degree.
Autoregressive integrated moving average on Wikipedia
Find out how in this free and practical email
Your Start in Machine Learning
course.
Seasonal Autoregressive Integrated Moving-Average
(SARIMA) Email Address

The Seasonal Autoregressive Integrated Moving Average (SARIMA) method

I consent to receivemodels theabout
information next step in the
sequence as a linear function of the differenced observations, errors, differenced seasonal observations,
services and special offers by email. For more
and seasonal errors at prior time steps. information, see the Privacy Policy.

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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

It combines the ARIMA model with the ability to perform the same autoregression, differencing, and moving
average modeling at the seasonal level.

The notation for the model involves specifying the order for the AR(p), I(d), and MA(q) models as
parameters to an ARIMA function and AR(P), I(D), MA(Q) and m parameters at the seasonal level, e.g.
SARIMA(p, d, q)(P, D, Q)m where “m” is the number of time steps in each season (the seasonal period). A
SARIMA model can be used to develop AR, MA, ARMA and ARIMA models.

The method is suitable for univariate time series with trend and/or seasonal components.

Python Code
1 # SARIMA example
2 from statsmodels.tsa.statespace.sarimax import SARIMAX
3 from random import random
4 # contrived dataset
5 data = [x + random() for x in range(1, 100)]
6 # fit model
7 model = SARIMAX(data, order=(1, 1, 1), seasonal_order=(1, 1, 1, 1))
8 model_fit = model.fit(disp=False)
9 # make prediction
10 yhat = model_fit.predict(len(data), len(data))
11 print(yhat)

More Information
statsmodels.tsa.statespace.sarimax.SARIMAX API
statsmodels.tsa.statespace.sarimax.SARIMAXResults API
Autoregressive integrated moving average on Wikipedia

Seasonal Autoregressive Integrated Moving-Average with

Exogenous Regressors (SARIMAX)
The Seasonal Autoregressive Integrated Moving-AverageYour Start inRegressors
with Exogenous Machine (SARIMAX) is an
×
Learning
extension of the SARIMA model that also includes the modeling of exogenous variables.

Exogenous variables are also called covariates and can be Youthought of as

can master parallel
applied inputLearning
Machine sequences that
have observations at the same time steps as the original without
series. the
Themath or fancy
primary degree.
series may be referred to as
Find out how in this free and practical
endogenous data to contrast it from the exogenous sequence(s). The observations for exogenous email
Yourand
course.
variables are included in the model directly at each time step Start in not
are Machine
modeledLearning
in the same way as the
primary endogenous sequence (e.g. as an AR, MA, etc. process).
Email Address
The SARIMAX method can also be used to model the subsumed models with exogenous variables, such
as ARX, MAX, ARMAX, and ARIMAX. I consent to receive information about
services and special offers by email. For more
The method is suitable for univariate time series with trend and/or seasonal components and exogenous
information, see the Privacy Policy.
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

Python Code
1 # SARIMAX example
2 from statsmodels.tsa.statespace.sarimax import SARIMAX
3 from random import random
4 # contrived dataset
5 data1 = [x + random() for x in range(1, 100)]
6 data2 = [x + random() for x in range(101, 200)]
7 # fit model
8 model = SARIMAX(data1, exog=data2, order=(1, 1, 1), seasonal_order=(0, 0, 0, 0))
9 model_fit = model.fit(disp=False)
10 # make prediction
11 exog2 = [200 + random()]
12 yhat = model_fit.predict(len(data1), len(data1), exog=[exog2])
13 print(yhat)

More Information
statsmodels.tsa.statespace.sarimax.SARIMAX API
statsmodels.tsa.statespace.sarimax.SARIMAXResults API
Autoregressive integrated moving average on Wikipedia

Vector Autoregression (VAR)

The Vector Autoregression (VAR) method models the next step in each time series using an AR model. It is
the generalization of AR to multiple parallel time series, e.g. multivariate time series.

The notation for the model involves specifying the order for the AR(p) model as parameters to a VAR
function, e.g. VAR(p).

The method is suitable for multivariate time series without trend and seasonal components.

Python Code
1 # VAR example Your Start in Machine ×
2 from statsmodels.tsa.vector_ar.var_model import VAR
3 from random import random Learning
4 # contrived dataset with dependency
5 data = list()
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6 for i in range(100):
7 v1 = i + random() without the math or fancy degree.
8 v2 = v1 + random() Find out how in this free and practical email
9 row = [v1, v2]
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10 data.append(row)
11 # fit model
12 model = VAR(data)
13 model_fit = model.fit() Email Address
14 # make prediction
15 yhat = model_fit.forecast(model_fit.y, steps=1)
16 print(yhat)
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statsmodels.tsa.vector_ar.var_model.VARResults API
Vector autoregression on Wikipedia

Vector Autoregression Moving-Average (VARMA)

The Vector Autoregression Moving-Average (VARMA) method models the next step in each time series
using an ARMA model. It is the generalization of ARMA to multiple parallel time series, e.g. multivariate
time series.

The notation for the model involves specifying the order for the AR(p) and MA(q) models as parameters to
a VARMA function, e.g. VARMA(p, q). A VARMA model can also be used to develop VAR or VMA models.

The method is suitable for multivariate time series without trend and seasonal components.

Python Code
1 # VARMA example
2 from statsmodels.tsa.statespace.varmax import VARMAX
3 from random import random
4 # contrived dataset with dependency
5 data = list()
6 for i in range(100):
7 v1 = random()
8 v2 = v1 + random()
9 row = [v1, v2]
10 data.append(row)
11 # fit model
12 model = VARMAX(data, order=(1, 1))
13 model_fit = model.fit(disp=False)
14 # make prediction
15 yhat = model_fit.forecast()
16 print(yhat)

More Information
statsmodels.tsa.statespace.varmax.VARMAX API Your Start in Machine ×
statsmodels.tsa.statespace.varmax.VARMAXResults
Learning
Vector autoregression on Wikipedia
You can master applied Machine Learning
Vector Autoregression Moving-Average with
without the math Exogenous
or fancy degree.
Find out how in this free and practical email
Regressors (VARMAX) Your Start in Machine Learning
course.

The Vector Autoregression Moving-Average with Exogenous Regressors (VARMAX) is an extension of the
Email Address
VARMA model that also includes the modeling of exogenous variables. It is a multivariate version of the
ARMAX method.
I consent to receive information about

Exogenous variables are also called covariates and can beservices and of
thought special offers by
as parallel email.
input For more that
sequences
have observations at the same time steps as the original information,
series. Thesee the Privacy
primary Policy. are referred to as
series(es)
endogenous data to contrast it from the exogenous sequence(s). The
START MY observations
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variables are included in the model directly at each time step and are not modeled in the same way as the
primary endogenous sequence (e.g. as an AR, MA, etc. process).

The VARMAX method can also be used to model the subsumed models with exogenous variables, such as
VARX and VMAX.

The method is suitable for multivariate time series without trend and seasonal components and exogenous
variables.

Python Code
1 # VARMAX example
2 from statsmodels.tsa.statespace.varmax import VARMAX
3 from random import random
4 # contrived dataset with dependency
5 data = list()
6 for i in range(100):
7 v1 = random()
8 v2 = v1 + random()
9 row = [v1, v2]
10 data.append(row)
11 data_exog = [x + random() for x in range(100)]
12 # fit model
13 model = VARMAX(data, exog=data_exog, order=(1, 1))
14 model_fit = model.fit(disp=False)
15 # make prediction
16 data_exog2 = [[100]]
17 yhat = model_fit.forecast(exog=data_exog2)
18 print(yhat)

More Information
statsmodels.tsa.statespace.varmax.VARMAX API
statsmodels.tsa.statespace.varmax.VARMAXResults
Vector autoregression on Wikipedia

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Simple Exponential Smoothing (SES)
Learning
The Simple Exponential Smoothing (SES) method models the next time step as an exponentially weighted
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linear function of observations at prior time steps.
without the math or fancy degree.
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The method is suitable for univariate time series without trend and seasonal components.
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Python Code
Email Address
1 # SES example
2 from statsmodels.tsa.holtwinters import SimpleExpSmoothing
I consent to receive information about
3 from random import random
4 # contrived dataset services and special offers by email. For more
5 data = [x + random() for x in range(1, 100)]
information, see the Privacy Policy.
6 # fit model
7 model = SimpleExpSmoothing(data)
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8 model_fit = model.fit()
9 # make prediction
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10 yhat = model_fit.predict(len(data), len(data))
11 print(yhat)

More Information
statsmodels.tsa.holtwinters.SimpleExpSmoothing API
statsmodels.tsa.holtwinters.HoltWintersResults API
Exponential smoothing on Wikipedia

Holt Winter’s Exponential Smoothing (HWES)

The Holt Winter’s Exponential Smoothing (HWES) also called the Triple Exponential Smoothing method
models the next time step as an exponentially weighted linear function of observations at prior time steps,
taking trends and seasonality into account.

The method is suitable for univariate time series with trend and/or seasonal components.

Python Code
1 # HWES example
2 from statsmodels.tsa.holtwinters import ExponentialSmoothing
3 from random import random
4 # contrived dataset
5 data = [x + random() for x in range(1, 100)]
6 # fit model
7 model = ExponentialSmoothing(data)
8 model_fit = model.fit()
9 # make prediction
10 yhat = model_fit.predict(len(data), len(data))
11 print(yhat)

More Information
statsmodels.tsa.holtwinters.ExponentialSmoothing API
statsmodels.tsa.holtwinters.HoltWintersResults API Your Start in Machine ×
Exponential smoothing on Wikipedia
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Further Reading You can master applied Machine Learning
without the math or fancy degree.
This section provides more resources on the topic if you are
Findlooking
out how to go deeper.
in this free and practical email
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Statsmodels: Time Series analysis API
Statsmodels: Time Series Analysis by State Space Methods
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Summary I consent to receive information about

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In this post, you discovered a suite of classical time series and special
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

Did I miss your favorite classical time series forecasting method?

Let me know in the comments below.

Did you try any of these methods on your dataset?

Let me know about your findings in the comments.

Do you have any questions?

Ask your questions in the comments below and I will do my best to answer.

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About Jason Brownlee
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Jason Brownlee, PhD is a machine learning specialist who teaches developers how to get results with
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72 Responses to 11 Classical Time Series Forecasting Methods in Python

(Cheat Sheet)

REPLY 
Adriena Welch August 6, 2018 at 3:20 pm #

Hi Jason, thanks for such an excellent and comprehensive post on time series. I sincerely
appreciate your effort. As you ask for the further topic, just wondering if I can request you for a specific topic
I have been struggling to get an output. It’s about Structural Dynamic Factor model ( SDFM) by Barigozzi,
M., Conti, A., and Luciani, M. (Do euro area countries respond asymmetrically to the common monetary
policy) and Mario Forni Luca Gambetti (The Dynamic Effects of Monetary Policy: A Structural Factor Model
Approach). Would it be possible for you to go over and estimate these two models using Python or R? It’s
just a request from me and sorry if it doesn’t go with your interest.

REPLY 
Jason Brownlee August 7, 2018 at 6:23 am #

Thanks for the suggestion. I’ve not heard of that method before.

REPLY 
Kamal Singh August 6, 2018 at 6:19 pm #

I am working on Time series or Prediction with neural network and SVR, I want to this in matlab by
scratch can you give me the references of this materials
Thank you in advance

Your Start in Machine ×

REPLY 
Jason Brownlee August 7, 2018 at 6:26 am #
Learning
Sorry, I don’t have any materials for matlab, it is only really used in universities.
You can master applied Machine Learning
without the math or fancy degree.
Find out how in this free and practical email
Your Start in Machine Learning
course. REPLY 
Catalin August 6, 2018 at 8:50 pm #

Hi Jason! From which editor do you import the python code

Email into the webpage of your article? Or
Address
what kind of container it that windowed control used to display the python code?
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information, see the Privacy Policy. REPLY 
Jason Brownlee August 7, 2018 at 6:26 am #
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Great question, I explain the software I use for the website here:
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REPLY 
Mike August 7, 2018 at 2:28 am #

Thanks for all the things to try!

I recently stumbled over some tasks where the classic algorithms like linear regression or decision trees
outperformed even sophisticated NNs. Especially when boosted or averaged out with each other.

Maybe its time to try the same with time series forecasting as I’m not getting good results for some tasks
with an LSTM.

REPLY 
Jason Brownlee August 7, 2018 at 6:30 am #

Always start with simple methods before trying more advanced methods.

The complexity of advanced methods just be justified by additional predictive skill.

REPLY 
Elie Kawerk August 7, 2018 at 2:36 am #

Hi Jason,

Thanks for this nice post!

You’ve imported the sin function from math many times but have not used it.

I’d like to see more posts about GARCH, ARCH and co-integration models.

Best, Your Start in Machine ×

Elie
Learning
You can master applied Machine Learning
without the math or fancy degree.
REPLY 
Jason Brownlee August 7, 2018 at 6:30 am # Find out how in this free and practical email
Your Start in Machine Learning
course.
Thanks, fixed.

I have a post on ARCH (and friends) scheduled. Email Address

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services and special offers by email. For moreREPLY 
Elie Kawerk August 7, 2018 at 2:38 am #
information, see the Privacy Policy.
Will you consider writing a follow-up book on advanced time-series models soon?
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

REPLY 
Jason Brownlee August 7, 2018 at 6:32 am #

Yes, it is written. I am editing it now. The title will be “Deep Learning for Time Series
Forecasting”.

CNNs are amazing at time series, and CNNs + LSTMs together are really great.

REPLY 
Elie Kawerk August 7, 2018 at 6:40 am #

will the new book cover classical time-series models like VAR, GARCH, ..?

REPLY 
Jason Brownlee August 7, 2018 at 2:29 pm #

The focus is deep learning (MLP, CNN and LSTM) with tutorials on how to get the most
from classical methods (Naive, SARIMA, ETS) before jumping into deep learning methods. I
hope to have it done by the end of the month.

Elie Kawerk August 7, 2018 at 5:02 pm #

This is great news! Don’t you think that R is better suited than Python for classical
time-series models?

Jason Brownlee August 8, 2018 at 6:15 am #

Your Start in Machine ×
Perhaps generally, but not if you Learning
are building a system for operational use. I think
Python is a better fit.
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Great to hear this news. May I ask if the book also cover the topic of multivariate
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Yes, there are many chapters on multi-step and most chapters work with multivariate data.

REPLY 
Søren August 7, 2018 at 10:27 pm #

Sounds amazing that you finally are geting the new book out on time-series models –
when will it be available to buy?

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Jason Brownlee August 8, 2018 at 6:20 am #

Thanks. I hope by the end of the month or soon after.

REPLY 
Arun Mishra August 10, 2018 at 5:25 am #

I use Prophet.
https://facebook.github.io/prophet/docs/quick_start.html

Also, sometimes FastFourier Transformations gives a good result.

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Jason Brownlee August 10, 2018 at 6:21 am #

Thanks.

AJ Rader August 16, 2018 at 7:11 am #

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I would second the use of prophet, especially in the context of shock events — this is
where this approach has a unique advantage.
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Jason Brownlee August 16, 2018 at 1:56 pm #

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What are the typical application domain of these algos?

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Jason Brownlee August 11, 2018 at 6:06 am #

Forecasting a time series across domains.

REPLY 
Alberto Garcia Galindo August 11, 2018 at 12:14 am #

Hi Jason!
Firstly I congratulate you for your blog. It is helping me a lot in my final work on my bachelor’s degree in
Statistics!
What are the assumptions for make forecasting on time series using Machine Learning algorithms? For
example, it must to be stationary? Thanks!

REPLY 
Jason Brownlee August 11, 2018 at 6:11 am #

Gaussian error, but they work anyway if you violate assumptions.

The methods like SARIMA/ETS try to make the series stationary as part of modeling (e.g. differencing).

You may want to look at power transforms to make data more Gaussian.

REPLY 
Neeraj August 12, 2018 at 4:55 pm #

Hi Jason
I’m interested in forecasting the temperatures
I’m provided with the previous data of the temperature
Can you suggest me the procedure I should follow in orderYour
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Yes, an SARIMA model would be a great place to start.
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Den August 16, 2018 at 12:15 am #
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Cool stuff as always. Kudos to you for making me a ML genius!
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Real quick:
How would you combine VARMAX with an SVR in python?

Elaboration.
Right now I am trying to predict a y-value, and have x1…xn variables.
The tricky part is, the rows are grouped.
So, for example.

If the goal is to predict the price of a certain car in the 8th year, and I have data for 1200 cars, and for each
car I have x11_xnm –> y1_xm data (meaning that let’s say car_X has data until m=10 years and car_X2 has
data until m=3 years, for example).

First I divide the data with the 80/20 split, trainset/testset, here the first challenge arises. How to make the
split?? I chose to split the data based on the car name, then for each car I gathered the data for year 1 to m.
(If this approach is wrong, please tell me) The motivation behind this, is that the 80/20 could otherwise end
up with data of all the cars of which some would have all the years and others would have none of the years.
aka a very skewed distribution.

Then I create a model using an SVR, with some parameters.

And then I try to predict the y-values of a certain car. (value in year m)

However, I do not feel as if I am using the time in my prediction. Therefore, I turned to VARMAX.

Final question(s).
How do you make a time series prediction if you have multiple groups [in this case 1200 cars, each of which
have a variable number of years(rows)] to make the model from?
Am I doing right by using the VARMAX or could you tell me a better approach?

Sorry for the long question and thank you for your patience!

Best,

Den

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Jason Brownlee August 16, 2018 at 6:09 am #
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You can try model per group or across groups. Try both and see what works best.
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Compare a suite of ml methods to varmax and use what performs
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Petrônio Cândido August 16, 2018 at 6:36 am #
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Jason Brownlee August 16, 2018 at 1:55 pm #

Thanks for sharing.

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Chris Phillips August 30, 2018 at 8:19 am #

Hi Jason,

Thank you so much for the many code examples on your site. I am wondering if you can help an amatur like
me on something.

When I pull data from our database, I generally do it for multiple SKU’s at the same time into a large table.
Considering that there are thousands of unique SKU’s in the table, is there a methodology you would
recommend for generating a forecast for each individual SKU? My initial thought is to run a loop and say
something to the effect of: For each in SKU run…Then the VAR Code or the SARIMA code.

Ideally I’d love to use SARIMA, as I think this works the best for the data I am looking to forecast, but if that
is only available to one SKU at a time and VAR is not constrained by this, it will work as well. If there is a
better methodology that you know of for these, I would gladly take this advice as well!

Thank you so much!

REPLY 
Jason Brownlee August 30, 2018 at 4:49 pm #

Yes, I’d encourage you to use this methodology:

https://machinelearningmastery.com/how-to-develop-a-skilful-time-series-forecasting-model/

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Eric September 6, 2018 at 6:32 am #
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Great post. I’m currently investigating a state space approach to forecasting. Dynamic Linear
without the math or fancy degree.
Modeling using a Kálmán Filter algorithm (West, Hamilton). There is a python package, pyDLM, that looks
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Jason Brownlee September 6, 2018 at 2:07 pm #
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Not familiar with the lib. Let me know how you go with it.
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Roberto Tomás September 27, 2018 at 7:38 am #

Hi Jason, I noticed using VARMAX that I had to remove seasonality — enforcing stationarity .. now I
have test and predictions data that I cannot plot (I can, but it doesn’t look right _at all_). I’m wondering if
there are any built-ins that handle translation to and from seasonality for me? My notebook is online:
https://nbviewer.jupyter.org/github/robbiemu/location-metric-
data/blob/master/appData%20and%20locationData.ipynb

REPLY 
Jason Brownlee September 27, 2018 at 2:43 pm #

Typically I would write a function to perform the transform and a sister function to invert it.

I have examples here:

https://machinelearningmastery.com/machine-learning-data-transforms-for-time-series-forecasting/

Does that help?

REPLY 
Sara October 2, 2018 at 7:36 am #

Thanks for your great tutorial posts. This one was very helpful. I am wondering if there is any
method that is suitable for multivariate time series with a trend or/and seasonal components?

REPLY 
Jason Brownlee October 2, 2018 at 11:03 am #

Yes, you can try MLPs, CNNs and LSTMs.

Your
You can experiment with each with and without data prep Start
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the series stationary.
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Thanks for your respond. I also have another Learningif you help me.
I would appreciate
I have a dataset which includes multiple time series variables which are not stationary and seems
that these variables are not dependent on each other. I tried
Email ARIMA for each variable column, also
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VAR for the pair of variables, I expected to get better result with ARIMA model (for non-stationarity
of time series) but VAR provides much better prediction. Do you have any thought why?
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

No, go with the method that gives the best performance.

REPLY 
Eric October 17, 2018 at 9:52 am #

Hi Jason,

In the (S/V)ARIMAX procedure, should I check to see if my exogenous regressors are stationary and
difference if them if necessary before fitting?

Y = data2 = [x + random() for x in range(101, 200)]

X = data1 = [x + random() for x in range(1, 100)]

If I don’t, then I can’t tell if a change in X is related to a change in Y, or if they are both just trending with
time. The time trend dominates as 0 <= random() <= 1

In R, Hyndman recommends "[differencing] all variables first as estimation of a model with non-stationary
errors is not consistent and can lead to “spurious regression”".

https://robjhyndman.com/hyndsight/arimax/

Does SARIMAX handle this automatically or flag me if I have non-stationary regressors?

Thanks

REPLY 
Jason Brownlee October 17, 2018 at 2:27 pm #

No, the library will not do this for you. Differencing is only performed on the provided series, not
the exogenous variables.

Perhaps try with and without and use the approach that results in the lowest forecast error for your
specific dataset.

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Andrew K October 23, 2018 at 9:09 am #
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Hi Jason, without the math or fancy degree.
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Thank you for this wonderful tutorial. Your Start in Machine Learning
course.
I do have a question regarding data that isn’t continuous, for example, data that can only be measured
during daylight hours. How would you approach a time series analysis
Email (forecasting) with data that has this
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behavior? Fill non-daylight hour data with 0’s or nan’s?
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Jason Brownlee October 23, 2018 at 2:25 pm #
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12/29/2018 11 Classical Time Series Forecasting Methods in Python (Cheat Sheet)

I’d encourage you to test many different framings of the problem to see what works.

If you want to make data contiguous, I have some ideas here:

https://machinelearningmastery.com/handle-missing-timesteps-sequence-prediction-problems-python/

REPLY 
Khalifa Ali October 23, 2018 at 4:48 pm #

Hey..
Kindly Help us in making hybrid forecasting techniques.
Using two forecasting technique and make a hybrid technique from them.
Like you may use any two techniques mentioned above and make a hybrid technique form them.
Thanks.

REPLY 
Jason Brownlee October 24, 2018 at 6:25 am #

Sure, what problem are you having with using multiple methods exactly?

REPLY 
Mohammad Alzyout October 31, 2018 at 6:25 pm #

Thank you for your excellent and clear tutorial.

I wondered which is the best way to forecast the next second Packet Error Rate in DSRC network for safety
messages exchange between vehicles to decide the best distribution over Access Categories of EDCA.

I hesitated to choose between LSTM or ARMA methodology.

Could you please guide me to the better method of them ?

Kindly, note that I’m beginner in both methods and want toYour
decide Start
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oneMachine
to go deep with it because I ×
don’t have enouph time to learn both methods especially they are as I think from different backgrounds.
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Jason Brownlee November 1, 2018 at 6:03 am #

I recommend testing a suite of methods in order Itoconsent to receive

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REPLY 
Jawad November 8, 2018 at 12:33 am #

Hi Jason,
Thanks for great post. I have 2 questions. First, is there a way to calculate confidence intervals in HWES,
because i could not find any way in the documentation. And second, do we have something like ‘nnetar’ R’s
neural network package for time series forecasting available in python.
Regards

REPLY 
Jason Brownlee November 8, 2018 at 6:10 am #

I’m not sure if the library has a built in confidence interval, you could calculate it yourself:
https://machinelearningmastery.com/confidence-intervals-for-machine-learning/

What is “nnetar”?

REPLY 
Jawad Iqbal November 22, 2018 at 8:46 am #

Thanks for your reply Jason. “nnetar” is a function in R,

https://www.rdocumentation.org/packages/forecast/versions/8.4/topics/nnetar
it is used for time series forecasting. I could not find anything similar in Python.
but now i am using your tutorial of LSTM for time series forecasting.
And i am facing an issue that my data points are 750. and when i do prediction the way you have mentioned
i.e. feed the one step forecast back to the new forecast step. So, the plot of my forecasting is just the
repetition of my data. Forecast look just like the cyclic repetition of the training data. I don’t know what am i
missing.

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Jason Brownlee November 22, 2018 at 2:08 pm #
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Perhaps try this tutorial:
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Rima December 4, 2018 at 9:59 pm #
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Hi Jason,
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I understand from the description of VARMAX that it takes as input, multivariate time series and exogenous

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variables. No?
Another question, can we use the seasonal_decompose
(https://www.statsmodels.org/dev/generated/statsmodels.tsa.seasonal.seasonal_decompose.html) function
in python to remove the seasonality and transform our time series to stationary time series? If so, is the
result residual (output of seasonal_decompose) is what are we looking for?

Thanks!
Rima

REPLY 
Jason Brownlee December 5, 2018 at 6:16 am #

Thanks, fixed.

REPLY 
Rima December 11, 2018 at 9:36 pm #

What about Seasonal_decompose method? Do we use residual result or the trend?

REPLY 
Jason Brownlee December 12, 2018 at 5:53 am #

Sorry, I don’t understand, perhaps you can elaborate your question?

Rima December 12, 2018 at 7:36 pm #

The seasonal_decompose function implemented in python gives us 4 resutls: the

original data, the seasonal component, the trend component and the residual component.
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I generally don’t recommend using the decomposed elements in forecasting. I

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Could you please help me list down the names of all the models available to forecast a univariate time
series?

Thanks!

REPLY 
Jason Brownlee December 5, 2018 at 6:18 am #

Does the above post not help?

REPLY 
Jane December 6, 2018 at 5:21 am #

Hi Jason,

Thank you this was super helpful!

For the AR code, is there any modification I can make so that model predicts multiple periods as opposed to
the next one? For example, if am using a monthly time series, and have data up until August 2018, the AR
predicts September 2018. Can it predict September 2018, October, 2018, and November 2018 based on the
same model and give me these results?

REPLY 
Jason Brownlee December 6, 2018 at 6:03 am #

Yes, you can specify the interval for which you need a prediction.

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Jane December 7, 2018 at 3:29 am #
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How might I go about doing that? I have read through the statsmodel methods and have
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Jason Brownlee December 7, 2018 at 5:25 am #
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The interval is specified either to the forecast() or the predict() method, I given an
example here that applies to most statsmodelsEmail Address
forecasting methods:
https://machinelearningmastery.com/make-sample-forecasts-arima-python/
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Esteban December 21, 2018 at 6:56 am #
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Hi, thank you so much for your post.

I have a question, have you used or have you any guidelines for the use of neural networks in forescating
time series, using CNN and LSTMboth together?

REPLY 
Jason Brownlee December 21, 2018 at 3:15 pm #

Yes, I have many examples and a book on the topic. You can get started here:
https://machinelearningmastery.com/start-here/#deep_learning_time_series

REPLY 
mk December 22, 2018 at 10:34 pm #

All methods have common problems. In real life, we do not need to predict the sample data. The
sample data already contains the values of the next moment. The so-called prediction is only based on a
difference, time lag. That is to say, the best prediction is performance delay. If we want to predict the future,
we don’t know the value of the current moment. How do we predict? Or maybe we have collected the
present and past values, trained for a long time, and actually the next moment has passed. What need do
we have to predict?

REPLY 
Jason Brownlee December 23, 2018 at 6:06 am #

You can frame the problem any way you wish, e.g. carefully define what inputs you have and
what output you want to predict, then fit a model to achieve that.

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