6 Powerful Feature Engineering Techniques For Time Series Data (using Python)

Overview Feature engineering is a skill every data scientist should know how to perform, especially in the case of time series We’ll discuss 6 powerful feature engineering techniques for time series in this article Each feature engineering technique is detailed using Python   Introduction ‘Time’ is the most essential concept in any business.

We map our sales numbers, revenue, bottom line, growth, and even prepare forecasts – all based on the time component.

But consequently, this can be a complex topic to understand for beginners.

There is a lot of nuance to time series data that we need to consider when we’re working with datasets that are time-sensitive.

Existing time series forecasting models undoubtedly work well in most cases, but they do have certain limitations.

I’ve seen aspiring data scientists struggle to map their data when they’re given only the time component and the target variable.

It’s a tricky challenge but not an impossible one.

There’s no one-size-fits-all approach here.

We don’t have to force-fit traditional time series techniques like ARIMA all the time (I speak from experience!).

There’ll be projects, such as demand forecasting or click prediction when you would need to rely on supervised learning algorithms.

And there’s where feature engineering for time series comes to the fore.

This has the potential to transform your time series model from just a good one to a powerful forecasting model.

In this article, we will look at various feature engineering techniques for extracting useful information using the date-time column.

And if you’re new to time series, I encourage you to check out the below free course: Creating Time Series Forecast using Python   Table of Contents Quick Introduction to Time Series Setting up the Problem Statement for Time Series Data Date-Related Features Time-Related Features Lag Features Rolling Window Expanding Window Domain-Specific   Quick Introduction to Time Series Before we look at the feature engineering techniques, let’s brush over some basic time series concepts.

We’ll be using them throughout the article so it’s best to be acquainted with them here.

So, what makes time series projects different from the traditional machine learning problems?.In a time series, the data is captured at equal intervals and each successive data point in the series depends on its past values.

Let’s take a simple example to understand this.

If we want to predict today’s stock price for a certain company, it would be helpful to have information about yesterday’s closing price, right?.Similarly, predicting the traffic on a website would be a lot easier if we have data about the last few months or years.

There’s another thing we need to consider – time series data may also have certain trends or seasonality.

Take a look at the plot shown below about the number of tickets booked for an airline over the years: We can clearly see an increasing trend.

Such information can be useful for making more accurate predictions.

Now, let’s take a dataset with date-time variables and start learning about feature engineering!.  Setting up the Problem Statement for Time Series Data We’ll be working on a fascinating problem to learn feature engineering techniques for time series.

We have the historical data for ‘JetRail’, a form of public rail transport, that uses advanced technology to run rails at a high speed.

JetRail’s usage has increased recently and we have to forecast the traffic on JetRail for the next 7 months based on past data.

Let’s see how we can help JetRail’s management team solve this problem.

You can go through the detailed problem statement and download the dataset from here.

Let’s load the dataset in our notebook: View the code on Gist.

We have two columns here – so it’s clearly a univariate time series.

Also, the data type of the date variable is taken as an object, i.


it is being treated as a categorical variable.

Hence, we will need to convert this into a DateTime variable.

We can do this using the appropriately titled datetime function in Pandas: View the code on Gist.

Now that we have the data ready, let’s look at the different features we can engineer from this variable.

Along with each of these feature engineering techniques, we will discuss different scenarios where that particular technique can be useful.

NOTE: I have taken a simple time series problem to demonstrate the different feature engineering techniques in this article.

You can use them on a dataset of your choice as long as the date-time column is present.

  Feature Engineering for Time Series #1: Date-Related Features Have you ever worked in a product company?.You’ll be intimately familiar with the task of forecasting the sales for a particular product.

We can find out the sales pattern for weekdays and weekends based on historical data.

Thus, having information about the day, month, year, etc.

can be useful for forecasting the values.

Let’s get back to our JetRail project.

We have to forecast the count of people who will take the JetRail on an hourly basis for the next 7 months.

This number could be higher for weekdays and lower for weekends or during the festive seasons.

Hence, the day of the week (weekday or weekend) or month will be an important factor.

Extracting these features is really easy in Python: View the code on Gist.

Feature Engineering for Time Series #2: Time-Based Features We can similarly extract more granular features if we have the time stamp.

For instance, we can determine the hour or minute of the day when the data was recorded and compare the trends between the business hours and non-business hours.

If we are able to extract the ‘hour’ feature from the time stamp, we can make more insightful conclusions about the data.

We could find out if the traffic on JetRail is higher during the morning, afternoon or evening time.

Or we could use the value to determine the average hourly traffic throughout the week, i.


the number of people who used JetRail between 9-10 am, 10-11 am, and so on (throughout the week).

Extracting time-based features is very similar to what we did above when extracting date-related features.

We start by converting the column to DateTime format and use the .

dt accessor.

Here’s how to do it in Python: View the code on Gist.

  Similarly, we can extract a number of features from the date column.

Here’s a complete list of features that we can generate: Run the code below to generate the date and hour features for the given data.

You can select any of the above functions and run the following code to generate a new feature for the same!.  Feature Engineering for Time Series #3: Lag Features Here’s something most aspiring data scientists don’t think about when working on a time series problem – we can also use the target variable for feature engineering!.Consider this – you are predicting the stock price for a company.

So, the previous day’s stock price is important to make a prediction, right?.In other words, the value at time t is greatly affected by the value at time t-1.

The past values are known as lags, so t-1 is lag 1, t-2 is lag 2, and so on.

View the code on Gist.

Here, we were able to generate lag one feature for our series.

But why lag one?.Why not five or seven?.That’s a good question.

The lag value we choose will depend on the correlation of individual values with its past values.

If the series has a weekly trend, which means the value last Monday can be used to predict the value for this Monday, you should create lag features for seven days.

Getting the drift?.We can create multiple lag features as well!.Let’s say we want lag 1 to lag 7 – we can let the model decide which is the most valuable one.

So, if we train a linear regression model, it will assign appropriate weights (or coefficients) to the lag features: View the code on Gist.

There is more than one way of determining the lag at which the correlation is significant.

For instance, we can use the ACF (Autocorrelation Function) and PACF (Partial Autocorrelation Function) plots.

ACF: The ACF plot is a measure of the correlation between the time series and the lagged version of itself PACF: The PACF plot is a measure of the correlation between the time series with a lagged version of itself but after eliminating the variations already explained by the intervening comparisons For our particular example, here are the ACF and PACF plots: from statsmodels.


tsaplots import plot_acf plot_acf(data[Count], lags=10) plot_pacf(data[Count], lags=10) The partial autocorrelation function shows a high correlation with the first lag and lesser correlation with the second and third lag.

The autocorrelation function shows a slow decay, which means that the future values have a very high correlation with its past values.

An important point to note – the number of times you shift, the same number of values will be reduced from the data.

You would see some rows with NaNs at the start.

That’s because the first observation has no lag.

You’ll need to discard these rows from the training data.

  Feature Engineering for Time Series #4: Rolling Window Feature In the last section, we looked at how we can use the previous values as features.

How about calculating some statistical values based on past values?. More details

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