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

Evaluating Performance Metrics

No model of a real-world phenomenon is perfect. There are countless statistical assumptions made about the underlying data, there is noise in the measurements, and there are unknown and unmodeled factors that contribute to the output. But even though it is not perfect, a good model is still informative and valuable. So, how do you know whether you have such a good model? How can you be sure your predictions for the future can be trusted? Cross-validation got us part of the way there, by providing a technique to compare unbiased predictions to actual values. This chapter is all about how to compare different models.

Prophet features several different metrics that are used for comparing your actual values with your predicted values, so you can quantify the performance of your model. This tells you how good your model actually is and whether you can trust the predictions, and helps you compare the performance of different models so you can choose which...