7 Libraries That Help in Time-Series problems-AI Data Science

6/29/2021 7 libraries that help in time-series problems | by Pratik Gandhi | Jun, 2021 | Towards Data Science
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7 libraries that help in time-series problems

Automate Time-Series problems!
Pratik Gandhi 18 hours ago · 6 min read
Time series problems are one of the toughest problems to solve in data science.
Traditional methods that are time-aware like ARIMA, SARIMA are great but lately they
have largely been accompanied by the non-time aware and robust machine learning
algorithms like XGBoost, LigthGBM, and so forth because of need and proven successful
track records. However, using these methods require extensive data preparation like
removing periodicity, removing trend from the target and engineering features like
rolling window features, lag features, etc. to prepare the final dataset.
https://towardsdatascience.com/7-libraries-that-help-in-time-series-problems-d59473e48ddd 1/20
Image created by author
To gain better accuracy we need to develop complex models and the work can be quite
extensive. Therefore, it is better to leverage some of the automation that is already
developed/creating by the Machine Learning community. Below are some of the
packages which are really helpful in solving time series problems.
1. tsfresh:
tsfresh is a fantastic python package that can automatically calculate a large number
of time series features.
Let's understand how tsfresh can be implemented by taking a standard dataset of Airline
passengers:
Get started
mporting librariesOpen in app
ort pandas as pd
m tsfresh import extract_features, extract_relevant_features,
ect_features
m tsfresh.utilities.dataframe_functions import impute,
e_forecasting_frame
m tsfresh.feature_extraction import ComprehensiveFCParameters,
tings
Code for basic implementation
The data needs to/will be formatted in a format something like below:
Output of dataframe
# Getting Comprehensive Features

extraction_settings =
ComprehensiveFCParameters()
X = extract_features(df_shift,
column_id="id", column_sort="time",
column_value="value",
impute_function=impute,
show_warnings=False,
Extracting features using tsfresh
Output of features
From the output above we see that almost ~800 features are created. tsfresh also
helps in feature selection based on p-value. Check out the documentation for more
details.
There is an exhaustive list of all the features that are calculated using tsfresh which
can found here.
Github: https://github.com/blue-yonder/tsfresh
Documentation: https://tsfresh.readthedocs.io/en/latest/index.html
2. autots:
AutoTS is an automated time series forecasting library that can train multiple time series
models using straightforward code. AutoTS means Automatic Time Series.
Library Logo
Some of the best features of this library are:
It uses genetic programming optimization to find optimal time series forecasting

model.
Provides lower and upper confidence interval forecast values.
It trains diverse models like naive, statistical, machine learning as well as deep
learning models
It can also perform automatic ensembling of best models
It also has the ability to handle messy data by learning optimal NaN imputation and
outlier removal
It can run both univariate and multivariate time series
Let us take Apple Stocks dataset and understand more in detail:
# Loading the package

from autots import AutoTS
import matplotlib.pyplot as plt
import pandas as pd
# Reading the data

df = pd.read_csv('../input/apple-aapl-
historical-stock-data/HistoricalQuotes.csv')
Code to load, preprocess and plot the data
Simple plot to see the data
model = AutoTS(forecast_length=40,
frequency='infer',
ensemble='simple',
drop_data_older_than_periods=100)
model = model.fit(df, date_col='Date',
value_col=' Close/Last', id_col=None)
Setting up AutoTS to run
This will run hundreds of models. You will see in the output pane the variety of models
that run. Lets see how the model predicts :
prediction = model.predict()
forecast = prediction.forecast
print("Stock Price Prediction of
Apple")
print(forecast)
Code to generate and print predictions
Prediction for 40 days
temp_df[' Close/Last'].plot(figsize=
(15,8), title= 'AAPL Stock Price',
fontsize=18, label='Train')
forecast[' Close/Last'].plot(figsize=
(15,8), title= 'AAPL Stock Price',
fontsize=18, label='Test')
plt.legend()
Code for plotting training and test(predictions) data
Github: https://github.com/winedarksea/AutoTS
Documentation:
https://winedarksea.github.io/AutoTS/build/html/source/tutorial.html
3. Prophet:
Library logo
Prophet is a well-known time series package developed by the research team at

Facebook with its first release in 2017. It works well with data that has strong seasonal
effects and several seasons of historical data. It is highly user-friendly and customizable,
with minimum efforts to set it up. It can handle the following things but not limited to:
daily seasonality,
holiday effects
input regressors
Lets take a look at a simple example:
s plt
het
e repo:
ith b t t /f b k/ h t/ t / l / l
Code to use Prophet library
Predictions for ~2 years
We can also trend and the seasonality plots as below:

Trend and Seasonality Plots
And finally, we can also see the predictions along with all the confidence intervals
Output for predictions
Github: https://github.com/facebook/prophet
Documentation: https://facebook.github.io/prophet/
4. darts:
Darts is another Python package that helps in the manipulation and forecasting of time
series. The syntax is “sklearn-friendly” using fit and predict functions to achieve your
goals. In addition, it contains a variety of models from ARIMA to Neural Networks.
The best part of the package is that it supports not only univariate but also supports
multivariate time series and models. The library also makes it easy to backtest models
and combine the predictions of several models and external regressors. Lets take a
simple example and understand its working:
#Loading the package

oadi g t e pac age
from darts import TimeSeries
Get started
from Open
darts.models
in app import ExponentialSmoothing
import matplotlib.pyplot as plt
# Reading the data

data = pd.read_csv('../input/air-
passengers/AirPassengers.csv')
series = TimeSeries.from_dataframe(data, 'Month',
'#Passengers')
print(series)
Looking at the data after loading as series
# S litti th i i t i d lid
https://towardsdatascience.com/7-libraries-that-help-in-time-series-problems-d59473e48ddd ti t 13/20
# Splitting the series in train and validation set
train, val = series.split_before(pd.Timestamp('19580101'))
# Applying a simple Exponential Smoothing model
model = ExponentialSmoothing()
model.fit(train)
# Getting and plotting the predictions

prediction =
model.predict(len(val))series.plot(label='actual')
prediction.plot(label='forecast', lw=3)
plt.legend()
Splitting the series and getting the predictions
Plotting the predictions
Github: https://github.com/unit8co/darts
Documentation: https://unit8co.github.io/darts/README.html
5. AtsPy:
AtsPy stands for Automated Time Series Models in Python. The goal of the library is to
forecast univariate time series. You can load the data and specify which models you
would like to run as shown in the example below:
# Importing packages
import pandas as pd
from atspy import AutomatedModel

# Reading the data:
data = pd.read_csv('../input/air-passengers/AirPassengers.csv')

# Preprocessing data
data.columns = ['month','Passengers']
data['month'] =
pd.to_datetime(data['month'],infer_datetime_format=True,format='%y%m')
data.index = data.month
df_air = data.drop(['month'], axis = 1)
Code to use AtsPy library
The package provides a diverse set of models totally automated. Below is the screenshot
of the models available:
Github: https://github.com/firmai/atspy
6. kats:
Kats is another recent library developed by the research team at Facebook dedicated
especially to handle time-series data. The goal of the framework is to provide a complete
solution for solving time series problems. Using this library we can do the following:
time-series analysis
detection of patterns including seasonalities, outlier, trend changes
feature engineering module that produces 65 features
building forecasting models on time series data including Prophet, ARIMA, Holt-
Winters, etc.
The library seems to be promising and it has just released its first version. Some tutorials
can be found here.
Github: https://github.com/facebookresearch/Kats
7. sktime:
Sktime library as the name suggests is a unified python library that works for time series
data and is scikit-learn compatible. It has models for time series forecasting, regression,
and classification. The main goal to develop was to interoperate with scikit-learn.
It can do several things but to mention few of them:
State of the art models
Ability to use sklearn’s Pipeline
Model tuning
Ensembling of models
The roadmap of sktime looks very promising and has a lot of developments coming
down the pipeline:
1. Multivariate/panel forecasting,
2. Time series clustering,
3. Time series annotation (segmentation and anomaly detection),
4. Probabilistic time series modeling, including survival and point processes.
If there is a specific library/package you would like me to make a detailed tutorial please do
comment and let me know. Also, if there are any other wonderful time series packages that
can be added to this list, please do not hesitate to comment. Thank you for your time for
reading!
My other articles related to Time-Series:
1. https://towardsdatascience.com/7-statistical-tests-to-validate-and-help-to-fit-
arima-model-33c5853e2e93
2. https://towardsdatascience.com/20-simple-yet-powerful-features-for-time-series-
using-date-and-time-af9da649e5dc
Follow me on Twitter or LinkedIn. You may also reach out to me via

pratikkgandhi@gmail.com
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6/29/2021 7 libraries that help in time-series problems | by Pratik Gandhi | Jun, 2021 | Towards Data Science

Get started Open in app

Follow 553K Followers