Feature Engineering for Time Series Analysis – ODSC East 2018

Forecasting is a core part of time series analysis as it tries tries to predict the value of the analysed signal. Forecasting is one of the hardest problems in predictive analytics because it's not always obvious what attributes can explain the future values of the signal and because you often will have less data than you would like to have, for example, if you have monthly data over a 4 year period you will basically have 48 data points. As time series analysis data is temporal, you will often have one data points per timestamp. The motto, "the more data the better," is true only up to a certain point, particularly when running a time series analysis. Adding more data can actually negatively impact your model.