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

Accounting for Outliers and Special Events

An outlier is any data point that lies significantly away from other data points along one or multiple different axes. Outliers may be incorrect data, resulting from a miscalibrated sensor producing invalid data, or even a finger slip on the keyboard during data entry, or they can be accurately recorded data that happens to wildly miss historical trends for various reasons, such as whether a tornado passed over a wind speed sensor.

These uncharacteristic measurements will sway any statistical or machine learning model, so correcting outliers is a challenge throughout data science and statistics. Fortunately, Prophet is generally robust at handling mild outliers. With extreme outliers though, there are two problems Prophet can experience – one problem with seasonality and another with uncertainty intervals.

In this chapter, you’ll see examples of both of these problems and learn how to alleviate their effects on your forecast...