Univariate Time Series Forecast

This study was developed with Filipe Roberto Ramos (https://ciencia.iscte-iul.pt/authors/filipe-roberto-de-jesus-ramos/cv) for his phD thesis entitled "Data Science in the Modeling and Forecasting of Financial Timeseries: from Classic methodologies to Deep Learning". Submitted in 2021 to Instituto Universitário de Lisboa - ISCTE Business School, Lisboa, Portugal.

1. Notebooks
   • ExploratoryDataAnalysis
   • ArimaAndSarima
   • ExponenTialSmoothing
   • DeepNeuralNetwork
2. Citation

Notebooks

ExploratoryDataAnalysis

• Imports and Defines
• Data Inspection
• Data Visualization
• Data Analysis
• Hypothesis Test

ARIMA and SARIMA

• Imports and Defines
  • Imports
  • Define Functions
  • Define Univariate Time-Series
• Stationarity of the Time-Series
  • Data transformation and its graphical representation
  • Normality tests
  • Jarques-Bera
  • Kolmogorov-Smirnov
  • Unit Root and Stationarity Tests
  • The Augmented Dickey-Fuller test
  • Kwiatkowski-Phillips-Schmidt-Shin
  • Correlation plots
• (S)ARIMA Selection
  • Pre-processing
  • Model training
  • Model Comparison based on Information Criteria
  • Selected Models Information Criteria Comparison
  • Selected Models Cross-Validation
• Model Validation
  • Model Residual Analysis
  • Normality tests
  • Kurtosis and Kurtosis Test
  • Skew and Skewness Test
  • Jarque-Bera and Kolmogorov-Smirnov tests
  • Engle's Test for Autoregressive Conditional Heteroscedasticity (ARCH)
  • Test for No Autocorrelation
  • Brock–Dechert–Scheinkman test
  • Breusch-Godfrey test [NOT IN SARIMA]
  • Box-Pierce and Ljung-Box tests
  • QQplot
  • Auto-correlation and Partial Auto-correlation functions
• Model Prediction
  • Model Prediction Overview

ExponenTialSmoothing

• Imports and Defines
  • Imports
  • Define Functions
  • Define Univariate Time-Series
• Data Visualization
• Model Training
  • Single Exponential Smoothing
  • TS (N, N) - Simple Exponential Smoothing
  • Double Exponential Smoothing
  • TS (A, N) - Holt’s linear method
  • TS (Ad, N) - Additive damped trend method
  • Triple Exponential Smoothing
  • TS (N, A) method
  • TS (A, A) - Additive Holt-Winters method
  • TS (Ad, A) method
  • TS (N, M) method
  • TS (A, M) Multiplicative Holt-Winters’ method
  • TS (Ad, M) Holt-Winters’ damped method
• Model Selection
• Model Validation
  • Normality Test
  • Kurtosis and Kurtosis Test
  • Skew and Skewness Test
  • Jarque-Bera test
  • Kolmogorov-Smirnov test
  • Engle's Test for Autoregressive Conditional Heteroscedasticity (ARCH)
  • Test for No Autocorrelation
  • Brock–Dechert–Scheinkman test
  • Box-Pierce and Ljung-Box tests
  • QQplot
  • Plot Auto-correlation and Partial Auto-correlation functions
• Model Prediction
  • Model Prediction Overview

DeepNeuralNetwork

And DNN_OurApproach

• Imports and Defines
  • Imports
  • Define Functions
  • Define Univariate Time-Series
• Training Deep Neural Network
  • Data Pre-Processing
  • Visualization of Data Pre-Processed
  • Model Selection (tune hyper-parameters)
  • Cross-Validation
  • Compute Cross-Validation Errors
  • Cross-Validation Performance
  • Cross-Validation Plot
• Model forecasting
  • Perform statistics on predictions
  • Statistics cleaning
  • Plot Prediction
  • Plot Forecast in-sample vs out-sample

Citation

APA

Ramos, F. (2021). Data Science na Modelação e Previsão de Séries Económico-financeiras: das Metodologias Clássicas ao Deep Learning. (PhD Thesis submitted, Instituto Universitário de Lisboa - ISCTE Business School, Lisboa, Portugal).

@phdthesis{FRRamos2021,
      AUTHOR = {Filipe R. Ramos},
      TITLE = {Data Science na Modelação e Previsão de Séries Económico-financeiras: das Metodologias Clássicas ao Deep Learning},
      PUBLISHER = {PhD Thesis submitted, Instituto Universitário de Lisboa - ISCTE Business School, Lisboa, Portugal},
      YEAR =  {2021}
}