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

Managing Uncertainty Intervals

Forecasting is essentially predicting the future, and with any prediction, there will be a particular amount of uncertainty. Quantifying this uncertainty provides an analyst with an understanding of how reliable their forecasts are, and provides their manager the confidence required to stake a lot of capital on a decision.

Prophet was designed from the ground up with uncertainty modeling in mind. Although you interact with it using either Python or R, the underlying model is built in the Stan programming language, a probabilistic language that allows Prophet to perform Bayesian sampling in an efficient manner to provide a deeper understanding of the uncertainty in the model, and thus the business risk of the forecast.

There are three sources of uncertainty that contribute to the total uncertainty in your Prophet model:

  • Uncertainty in the trend
  • Uncertainty in the seasonality, holidays, and additional regressors
  • Uncertainty due to...