Multivariate Time Series Forecasting Using Statistical and Machine Learning Models
Multivariate Time Series Forecasting Using Statistical and Machine Learning Models


Time series data is ubiquitous: weekly initial unemployment claim, daily term structure of interest rates, tick level stock prices, weekly company sales, daily foot traffic recorded by mobile devices, and daily number of steps taken recorded by a wearable, just to name a few.

Some of the most important and commonly used data science techniques in time series forecasting are those developed in the field of machine learning and statistics. Data scientists should have at least a few basic time series statistical and machine learning modeling techniques in their toolkit.

This lecture discusses the formulation Vector Autoregressive (VAR) Models, one of the most important class of multivariate time series statistical models, and neural network-based techniques, which has received a lot of attention in the data science community in the past few years, demonstrates how they are implemented in practice, and compares their advantages and disadvantages used in practice. Real-world applications, demonstrated using python, are used throughout the lecture to illustrate these techniques. While not the focus in this lecture, exploratory time series data analysis using histogram, kernel density plot, time-series plot, scatterplot matrix, plots of autocorrelation (i.e. correlogram), plots of partial autocorrelation, and plots of cross-correlations will also be included in the demo.


Jeffrey is the Chief Data Scientist at AllianceBernstein, a global investment firm managing over $500 billion. He is responsible for building and leading the data science group, partnering with investment professionals to create investment signals using data science, and collaborating with sales and marketing teams to analyze clients. Graduated with a Ph.D. in economics from the University of Pennsylvania, he has also taught statistics, econometrics, and machine learning courses at UC Berkeley, Cornell, NYU, the University of Pennsylvania, and Virginia Tech. Previously, Jeffrey held advanced analytic positions at Silicon Valley Data Science, Charles Schwab Corporation, KPMG, and Moody’s Analytics.

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