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

Detecting outliers automatically

In these examples so far, we detected outliers with a simple visual inspection of the data and applied common sense. In a fully automated setting, defining logical rules for what we as humans do intuitively can be difficult. Outlier detection is a good use of an analyst’s time, as we humans are able to use much more intuition, domain knowledge, and experience than a computer can. But as Prophet was developed to reduce the workload of analysts and automate as much as possible, we’ll examine a couple of techniques to identify outliers automatically.

Winsorizing

The first technique is called Winsorization, named after the statistician Charles P. Winsor. It is also sometimes called clipping. Winsorization is a blunt tool and tends not to work well with non-flat trends. Winsorization requires an analyst to specify a percentile; all data above or below that percentile is forced to remain at the value at the percentile.

Trimming is a...