Alro10 / time-series-statistical-tests

Statistical tests of time series using python

Statistical tests for Time Series models

Theory, references, datasets and coding for statistical tests for evaluating time series models. Write code in Python and R.

Theory

• Time Series trend and seasonality components
• Econometrics course
• [Decomposing time series into deterministic and stochastic influences: A survey (https://www.sciencedirect.com/science/article/pii/S1051200419301289?dgcid=coauthor)

References

• Good-slides
• https://medium.com/@kangeugine/time-series-check-stationarity-1bee9085da05
• https://towardsdatascience.com/time-series-in-python-part-2-dealing-with-seasonal-data-397a65b74051
• https://www.kaggle.com/kashnitsky/topic-9-part-1-time-series-analysis-in-python
• https://machinelearningmastery.com/decompose-time-series-data-trend-seasonality/
• https://pythonforfinance.net/2016/05/09/python-backtesting-mean-reversion-part-2/
• https://www.kdnuggets.com/2019/08/stationarity-time-series-data.html
• https://medium.com/@constandinou.antonio/quant-post-3-1-a-guided-path-into-mean-reversion-8b33b3c279e4
• https://www.datacamp.com/community/tutorials/finance-python-trading
• https://seaborn.pydata.org/tutorial/distributions.html

Datasets

• https://github.com/wblakecannon/DataCamp/tree/master/22-introduction-to-time-series-analysis-in-python/data/financial-time-series-datasets

• https://github.com/jaungiers/LSTM-Neural-Network-for-Time-Series-Prediction/tree/master/data

• https://github.com/Yorko/mlcourse.ai/tree/master/data

Coding

• [Statistical-basic]

TODO

• add more theory
• add more datasets.