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Time Series
Analysis with
Seasonal Data
Case study by Cheuk Ting Ho
@cheukting_ho
https://github.com/Cheukting
@pydataamsterdam
Cheuk Tink Ho
@cheukting_ho
Data scientist at
Contributor ofMember of
Organizer of
● Base in London
● Love Python
● Love Comedy
● Love Beer & Cheese
● Love Travel
Time Series:
- Sequential data: order matters
- Upsample, Downsample: by day, by week,
by month
- Pandas Datatime index
@pydataamsterdam
@cheukting_ho
Seasonal Data:
- Repeating pattern
- Cycle could be week, month or day
- Compare data at the same point in the
cycle
@pydataamsterdam
@cheukting_ho
Example -
AirPassenger Dataset
The number of passengers shows a
pattern of:
- Trend
- Seasonality
- Noise
Across time
@cheukting_ho
@pydataamsterdam
What can we do to
combat seasonality in
travel data?
Wholesale in Travel
- Clients may be closed for business
during public holidays
- Sales are different weekday / weekend
(seasonal)
- Business worldwide
- Estimate impact from public holiday
worldwide
@cheukting_ho
@pydataamsterdam
Workflow:
➔ Break data in different countries, for
each country:
➔ De-seasonal and de-trend the time
series
➔ Find the residual that goes beyond
the LCL (for holiday CY) / UCL (for
holiday LY)
➔ Match holidays in the country form
calendar to the residual
➔ Calculate impact (residual - LCL)
@cheukting_ho
@pydataamsterdam
Python library - seasonal
- Linear trend fitting with periodic data can be hazardous
- Apply a filter to knock down variations at the maximum expected period
- Seasonal offsets (same as Holt-Winters) for a given periodicity are
estimated as period-over-period averages using all the provided data
- Estimating the period using a time-domain approach that accommodates
any periodic signal shape
- Drawback: computationally expensive (O(n^2))
https://github.com/welch/seasonal
@pydataamsterdam
@cheukting_ho
holiday?
Google Calendar API
Allows us to scrap all holiday in all countries as a
record, LY and CY holidays are compare on the
same weekday.
@pydataamsterdam
@cheukting_ho
Christmas
Chinese New Year

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PyData Amsterdam 2018 - time series analysis with seasonal data

  • 1. Time Series Analysis with Seasonal Data Case study by Cheuk Ting Ho @cheukting_ho https://github.com/Cheukting @pydataamsterdam
  • 2. Cheuk Tink Ho @cheukting_ho Data scientist at Contributor ofMember of Organizer of ● Base in London ● Love Python ● Love Comedy ● Love Beer & Cheese ● Love Travel
  • 3.
  • 4. Time Series: - Sequential data: order matters - Upsample, Downsample: by day, by week, by month - Pandas Datatime index @pydataamsterdam @cheukting_ho
  • 5. Seasonal Data: - Repeating pattern - Cycle could be week, month or day - Compare data at the same point in the cycle @pydataamsterdam @cheukting_ho
  • 6. Example - AirPassenger Dataset The number of passengers shows a pattern of: - Trend - Seasonality - Noise Across time @cheukting_ho @pydataamsterdam
  • 7. What can we do to combat seasonality in travel data?
  • 8. Wholesale in Travel - Clients may be closed for business during public holidays - Sales are different weekday / weekend (seasonal) - Business worldwide - Estimate impact from public holiday worldwide @cheukting_ho @pydataamsterdam
  • 9. Workflow: ➔ Break data in different countries, for each country: ➔ De-seasonal and de-trend the time series ➔ Find the residual that goes beyond the LCL (for holiday CY) / UCL (for holiday LY) ➔ Match holidays in the country form calendar to the residual ➔ Calculate impact (residual - LCL) @cheukting_ho @pydataamsterdam
  • 10. Python library - seasonal - Linear trend fitting with periodic data can be hazardous - Apply a filter to knock down variations at the maximum expected period - Seasonal offsets (same as Holt-Winters) for a given periodicity are estimated as period-over-period averages using all the provided data - Estimating the period using a time-domain approach that accommodates any periodic signal shape - Drawback: computationally expensive (O(n^2)) https://github.com/welch/seasonal @pydataamsterdam @cheukting_ho
  • 12. Google Calendar API Allows us to scrap all holiday in all countries as a record, LY and CY holidays are compare on the same weekday. @pydataamsterdam @cheukting_ho