Book Image

Forecasting Time Series Data with Prophet - Second Edition

By : Greg Rafferty
5 (1)
Book Image

Forecasting Time Series Data with Prophet - Second Edition

5 (1)
By: Greg Rafferty

Overview of this book

Forecasting Time Series Data with Prophet will help you to implement Prophet's cutting-edge forecasting techniques to model future data with high accuracy using only a few lines of code. This second edition has been fully revised with every update to the Prophet package since the first edition was published two years ago. An entirely new chapter is also included, diving into the mathematical equations behind Prophet's models. Additionally, the book contains new sections on forecasting during shocks such as COVID, creating custom trend modes from scratch, and a discussion of recent developments in the open-source forecasting community. You'll cover advanced features such as visualizing forecasts, adding holidays and trend changepoints, and handling outliers. You'll use the Fourier series to model seasonality, learn how to choose between an additive and multiplicative model, and understand when to modify each model parameter. Later, you'll see how to optimize more complicated models with hyperparameter tuning and by adding additional regressors to the model. Finally, you'll learn how to run diagnostics to evaluate the performance of your models in production. By the end of this book, you'll be able to take a raw time series dataset and build advanced and accurate forecasting models with concise, understandable, and repeatable code.
Table of Contents (20 chapters)
1
Part 1: Getting Started with Prophet
5
Part 2: Seasonality, Tuning, and Advanced Features
14
Part 3: Diagnostics and Evaluation

Influencing Trend Changepoints

During the development of Prophet, the engineering team recognized that real-world time series will frequently exhibit abrupt changes in their trajectories. As a fundamentally linear regression model, Prophet would not be capable of capturing these changes without special care being taken. You may have noticed in the previous chapters, however, that when we plotted the forecast components in our examples, the trend line was not always perfectly straight. Clearly, the Prophet team has developed a way for Prophet to capture these bends in the linear model. The locations of these bends are called changepoints.

Prophet will automatically identify these changepoints and allow the trend to adapt appropriately. However, there are several tools you can use to control this behavior if Prophet is underfitting or overfitting these rate changes. In this chapter, we’ll look at Prophet’s automatic changepoint detection to provide you with an understanding...