Time Series: Mixed Model Time Series Regression

Utilizing a number of mannequin types to seize and forecast the parts of complicated time sequence

I just lately needed to repair the fence in my again yard. It’s previous, wood, and has been threatening to topple over for some time now. Between curses it actually struck me what number of instruments I wanted to make use of to get the job executed, and the way typically you really want a couple of device for the job.

What does this need to do with time sequence regression? Typically, little or no. Specifically, fairly a bit: at present we’ll be diving into utilizing combined fashions for time sequence evaluation and forecasting. Or in additional DIY phrases — utilizing extra mannequin instruments to get the forecasting job executed.

So, with out an excessive amount of extra rambling, we’ll get cracking with:

Revisiting the large image, and speaking a bit about combined fashions. some real-world knowledge.Utilizing a easy mannequin to seize the development in our time sequence.Seasonality 3 ways: determination bushes, linear regression, and basic time sequence.Placing Humpty Dumpty again collectively to get a single time sequence prediction.

Apart: you’ll be happy to know that my thumbs have made a full restoration following some hammer-related accidents.

As all the time, we’re making an attempt to construct essentially the most “correct” mannequin potential. On this case, we’re specializing in forecasting so we’ll prioritise fashions which might produce essentially the most correct estimates of future time sequence values.

I’ve beforehand written at size about utilizing a regression strategy primarily based on Meta’s Prophet methodology. In these articles, I defined why I selected to make use of the LASSO mannequin: non-stationarity made utilizing basic strategies troublesome, the necessity for smart extrapolation dominated out tree-based approaches, and the need for simplicity and explainability excluded any kind of neural community.

However I additionally hinted at utilizing combined mannequin types — that’s, modelling every of the time sequence parts utilizing a distinct mannequin type, and mixing the output of the…