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

Modeling outliers as special events

There is one final way to work with outliers in Prophet; it’s a technique we used with James Rodríguez’s data in Chapter 8, Influencing Trend Changepoints – we can declare the outliers as a special event, essentially a holiday. By putting the outliers into the holidays DataFrame, we essentially instruct Prophet to apply trends and seasonality as if the data points were not outliers and capture the additional variation beyond trends and seasonality in the holiday term.

This can be useful if you know that the extreme observations are due to some external factor that you do not expect to repeat. Such external factors could be the World Cup or a large marketing campaign but may also be mysterious and unknown. You can keep the data in your model but essentially disregard it. An added benefit is that you can simulate what would happen if the event repeated.

We’ll again use the National Geographic data but, this time...