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

Performing k-fold cross-validation

We’ll be using a new dataset in this chapter – the sales of an online retailer in the United Kingdom. This data has been anonymized, but it represents 3 years of daily sales amounts, as displayed in the following graph:

Figure 12.1 – Daily sales of an anonymous online retailer

Figure 12.1 – Daily sales of an anonymous online retailer

This retailer has not seen dramatic growth over the 3 years of data, but it has seen a massive boost in sales at the end of each year. The main customers of this retailer are wholesalers, who typically make their purchases during the work week. This is why when we plot the components of Prophet’s forecast, you’ll see that Saturday and Sunday’s sales are the lowest. We’ll use this data to perform cross-validation in Prophet.

Before we get to modeling, though, let’s first review traditional validation techniques used to tune a model’s hyperparameters and report performance. The...