Using python to work with time series data
The python ecosystem contains different packages that can be used to process time series.
The following list is by no means exhaustive, feel free to submit a pr if you miss something.
| Project Name | Description |
|---|---|
| PyFlux | Contains classical time series forecasting models |
| tsfresh | Extracts and filters features from time series, allowing supervised classificators and regressor to be applied to time series data |
| tspreprocess | A Python package to preprocess time series, still WIP |
| tslearn | This package contains direct time series classifiers and regressors |
| cesium | A time series platform with feature extraction aming for non uniformly sampled signals |
| hctsa | A Matlab based feature extraction which can be controlled from python |
| statsmodels | This econometrics package has a submodule with classical time series models and hypothesis tests |
| prophet | Time series forecasting for time series data that has multiple seasonality with linear or non-linear growth |
| pyDSE | This package contains ARMA models for Dynamic System Estimation |
| fecon235 | This package contains Computational tools for financial economics |