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

Correcting outliers that cause wide uncertainty intervals

In the first type of outlier we looked at, the problem was that the seasonality was affected and forever changed yhat in the forecast (if you remember from Chapter 2, Getting Started with Prophet, yhat is the predicted value for future dates contained in Prophet’s forecast DataFrame). In this second problem, yhat is minimally affected, but the uncertainty intervals widen dramatically.

To simulate this issue, we need to modify our NatGeo data a bit. Let’s say that Instagram introduced a bug in their code that capped likes at 100,000 per post. It somehow went unnoticed for a year before being fixed, but unfortunately, all likes above 100,000 were lost. Such an error would look like this:

Figure 10.6 – Capped likes on National Geographic’s Instagram account

Figure 10.6 – Capped likes on National Geographic’s Instagram account

You can simulate this new dataset yourself with the following code:

df3 = df.copy()
df3.loc[df3['ds&apos...