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

Automatic trend changepoint detection

Trend changepoints are locations in your time series where the trend component of the model suddenly changes its slope. There are many reasons why these changepoints occur, depending upon your dataset. For example, Facebook (now Meta) developed Prophet to forecast its own business problems; it may model the number of daily active users and see a sudden change of trend upon the release of a new feature.

Airline passenger numbers may suddenly change as economies of scale allow much cheaper flights. The trend of carbon dioxide in the atmosphere was relatively flat for tens of thousands of years, but then suddenly changed during the Industrial Revolution.

From our work with the Divvy dataset in previous chapters, we saw a slowdown of growth after approximately two years. Let’s take a closer look at this example to learn about automatic changepoint detection.

Default changepoint detection

Prophet sets changepoints by first specifying...