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.