Overview of time series analysis Python packages

A review of python packages dedicated to time series analysis.


Overview of time series analysis Python packages

Motivation

This work was first published in Siebert2021. This page presents the motivation and context behind the article. The overview of python packages dedicated to time series analysis can be found by following this link.

The original goal of the paper was to answer the following research questions:

  • Which time series analysis tasks exist? and which of these are implemented in (maintained) Python packages?
  • How do the packages support the evaluation of the produced results?
  • How do the packages support their usage, and what insights can we gain to estimate the durability of a given package and make an informed choice about its long-term use?

Inclusion criteria

To guide our review and filter relevant packages, we defined the following inclusion criteria (IC):

  • IC1: The package should be open source, written in Python, available on GitHub (IC1).
  • IC2.1: The package should be actively maintained (last commit in less than 6 months) (IC2.1);
  • IC2.2: it should have more than 100 GitHub stars (IC2.2);
  • IC2.3: it should be listed in PyPI and be installable via pip or conda (IC2.3).
  • IC3: The package should target explicitly time series analysis (IC3). We exclude packages that can be used for time series analysis (as building blocks) whose main purpose is not time series analysis per se (for example, generic scientific computing packages such as scipy or numpy, packages dedicated to data manipulation or storage such as pandas, or generic machine learning or data mining packages such as scikit-learn).
  • IC4: Finally, we focused our search on packages offering methods that tend to be domain agnostic (IC4) and exclude domain specific packages. Domain specific packages are packages aiming to solve time series analysis in a specific domain (for example, audio, finance, geoscience, etc.). They usually focus on specific types and formats of time series and domain related analysis tasks.

Categories definitions:

The search process in Siebert2021, led us (the authors) to use the some categories (we hope to update them over time): analysis tasks, data preparation aspects (also called implementation components in Elsing2012), evaluation aspects, datasets, and documentation aspects. Each category is defined below.

Analysis Tasks:

In these categories, we have listed the packages that provide explicit methods to solve the mentioned task.

T1 (forecasting)

Forecasting (also called prediction) is the task of predicting future values of a time series given some past data. This is probably the most known and used task and there are many examples of forecasting applications. Sales, product price, or stock option prediction are typical examples from the field of finance.

Forecasting
Forecasting

T2 (classification)

Classification is the task of assigning time series to predefined groups (called classes).

Classification
Classification

T3 (clustering)

Clustering is the task of grouping similar time series into groups (called clusters). The difference between clustering and classification is that in classification the groups are predefined, whereas in clustering the groups are formed on the basis of the statistical properties of the data itself.

Clustering
Clustering

T4 (anomaly detection)

Anomaly detection (also called outliers or novelty detection) is the task of finding abnormal data points (called outliers) or subsequences (called discords).

Anomaly detection
Anomaly detection

T5 (segmentation)

Segmentation (also called summarization) is the task of creating an accurate approximation of a time series, by reducing its dimensionality while retaining its essential features.

Segmentation
Segmentation (here SAX)

T6 (pattern recognition)

Pattern recognition (also called motif discovery) is the task of finding time series subsequences that appears recurrently.

Motifs discovery
Motifs discovery

Not to be confused with indexing. Indexing (also called query by content) is the task of finding similar time series (or a given pattern or a subsequence of a time series) in a database. Searching for similar time series is the basis for other related tasks (such as clustering or motifs discovery, for instance).

Indexing
Indexing

T7 (change point detection)

Change point detection is the task of finding points in time, where the statistical properties of the time series (like mean, variance) abruptly change. Change point detection tests are often used in manufacturing for quality control.

change point detection
Change point detection

Data preparation

Data preparation aspects (also called implementation components in Elsing2012) are techniques that are used to support or improve the analysis. In these categories we listed packages that provide explicit function for reducing dimensions, imputing missing values, transforming the data, or computing similarity measures.

DP1 (dimensionality reduction)

Dimensionality reduction methods aims at transforming multi-dimensional time series to into a low-dimensional representation. The goal is to retain meaningful properties of the original time series.

DP2 (missing values imputation)

Missing values imputation are methods that detects and replace missing values with synthetic values. The substituted values should, at best, be representative of the original (often unknown) missing values.

DP3 (decomposition)

A time series can be decomposed into different components like trends, seasonality, frequency spectrum (e.g. Fourier) or time-frequency cepstrum (e.g., wavelets). In this category we listed packages that explicitly provided methods for decomposing time series.

DP4 (preprocessing)

In this category we listed packages providing generic transformation methods (e.g., scaling, normalizing) and features generation methods.

DP5 (similarity measures)

Similarity measures are the foundations of many analysis tasks. In this category, we listed packages that provide explicit access to similarity measures functions.

Evaluation:

For these categories, we investigate whether the packages provide function to help evaluate the results of the analysis tasks.

E1 (model selection, hyperparameters search, features selection).

In this category, we listed packages that provide function to perform model, features, or hyperparameters selection.

E2 (metrics and statistical tests).

In this category, we checked whether the package explicitly provide function for computing evaluation metrics or statistical tests.

E3 (visualization).

For this category, we investigated whether the packages provide plotting functions.

Datasets:

For these categories, we checked whether the packages provide function to generate synthetic datasets or provide access to existing ones.

D1 (synthetic data generation)

Does the package provide functions to generate synthetic datasets?

D2 (contains datasets)

Does the package provide function to access existing datasets?

Documentation:

For these categories, we investigated several documentation aspects.

Do1 (dedicated documentation)

Is there a dedicated documentation page for the package?

Do2 (notebook: directly executable (2), present (1))

Does the package provide notebooks files (1)? are these directly executable without installing the package (2) (e.g., via myinder)?

Do3 (API reference)

Does the package documentation provide an API reference listing all modules and functions available?

Do4 (install guide)

Does the package documentation (or the corresponding repository README) provide an installation guide?

Do5 (user guide)

Does the package documentation provide a user guide?

References

1. Julien Siebert, Janek GroƟ, Christof Schroth. A systematic review of Python packages for time series analysis. https://arxiv.org/abs/2104.07406

2. Esling, P., Agon, C.: Time-series data mining. ACM Computing Surveys 45(1), 1{34 (2012). https://doi.org/10.1145/2379776.2379788