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 uncertainty in trends

You may have noticed in different component plots throughout this book that the trend shows uncertainty bounds, while the seasonality curves do not. By default, Prophet only estimates uncertainty in the trend, plus uncertainty due to random noise in the data. The noise is modeled as a normal distribution around the trend and trend uncertainty is modeled with maximum a posteriori (MAP) estimation.

MAP estimation is an optimization problem that is solved with Monte Carlo simulations. Named after the famous casino in Monaco, the Monte Carlo method uses repeated random sampling to estimate an unknown value, usually used when closed-form equations are either non-existent or computationally difficult.

In Chapter 6, Forecasting Holiday Effects, we talked about prior distributions, or the probability distribution of an estimate prior to receiving additional information about it. In MAP estimation, you are estimating the central tendency of a posterior distribution...