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

We began this chapter with a discussion of why k-fold cross-validation was developed in traditional machine learning applications, and we then learned why it will not work with time series. You then learned about forward-chaining, also called rolling-origin cross-validation, for use with time series data.

You learned the keywords of initial, horizon, period, and cutoff, which are used to define your cross-validation parameters, and you learned how to implement them in Prophet. Finally, you learned the different options Prophet has for parallelization in order to speed up model evaluation.

These techniques provide you with a statistically robust way to evaluate and compare models. By isolating the data used in training and testing, you remove any bias in the process and can be more certain that your model will perform well when making new predictions.

In the next chapter, you’ll apply what you learned here to measure your model’s performance and tune it...