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Time Series Forecasting

Materi Perkuliahan S2

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12 views9 pages

Time Series Forecasting

Materi Perkuliahan S2

Uploaded by

taufiq22mttk
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Time Series Forecasting

Dec 2023
Intro to time series analysis
• Time series data is a series of data points or observation that
recorded at different or regular time.
• This fixed interval can be hourly, daily, monthly or yearly. e.g. hourly temp
reading, daily changing fuel prices, monthly electricity bill, annul company
profit report etc. In time series data, time will always be independent variable
and there can be one or many dependent variable.
• Time series analysis is a statistical methods for analyzing time series
data. Its purpose is to understand the past.
• Time series forecasting is to predict future values based on past
results.
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Component of time series
❑Level. The baseline value for the series if it were a straight line.
❑Trend. The optional and often linear increasing or decreasing
behavior of the series overtime.
❑Seasonality. The optional repeating patterns or cycles of behavior
over time.
❑Noise. The optional variability in the observations that cannot be
explained by the model.
Time Series Characteristics
Mean, standard deviation and seasonality defines different characteristics
of the time series.
Time Series Nomenclature

• The current time is defined as t, an observation at the current time is


defined as obs(t)
• Observations made at prior times, called lag times or lags.
• Times in the past are negative relative to the current time. For
example the previous time is t-1 and the time before that is t-2. The
observations at these times are obs(t-1) and obs(t-2) respectively.
Times in the future are what we are interested in forecasting and are
positive relative to the current time. For example the next time is t+1
and the time after that is t+2.
Python Library to be used
• Pandas. Key features:
• The Series object for representing a univariate time series.
• Explicit handling of date-time indexes in data and date-time ranges.
• Transforms such as shifting, lagging, and filling.
• Resampling methods such as up-sampling, down-sampling, and aggregation
• Statsmodel
• Statistical tests for stationarity such as the Augmented Dickey-Fuller unit root test.
• Time series analysis plots such as autocorrelation function (ACF) and partial
autocorrelation function (PACF).
• Linear time series models such as autoregression (AR), moving average (MA),
autoregressive
• moving average (ARMA), and autoregressive integrated moving average (ARIMA).
• Scikit-learn
Thank you
For your attention
PR
• Cari data time series
• Evaluasi, apakah ada trend/seasonality/cyclic
• Apakah masuk dalam stationary data? ADF
• Lebih cocok additive atau multiplicative

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