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

Summary

Outliers are a fact of any data analysis, but they do not always have to cause headaches. Prophet is very robust at handling most outliers without any special consideration, but sometimes problems can arise. In this chapter, you learned about the two problems most common with outliers in Prophet – uncontrolled seasonality and exploding uncertainty intervals.

In both cases, simply removing the data is the best approach to solving the problem. As long as data exists in other periods of the seasonality cycles for those gaps where data was removed, Prophet has no problem finding a good fit.

You also learned several automated outlier detection techniques, from the basic techniques of Winsorization and trimming, which tend not to work well on time series exhibiting a trend, to the more advanced technique of stacking forecasts and using errors in the first model to remove outliers for the second model.

Finally, you learned how to model both outliers and significant...