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

Understanding Prophet’s metrics

Prophet’s diagnostics package provides six different metrics you can use to evaluate your model. Those metrics are mean squared error, root mean squared error, mean absolute error, mean absolute percent error, median absolute percent error, and coverage. We’ll discuss each of these in turn.

Mean squared error

Mean squared error (MSE) is the sum of the squared difference between each predicted value and the actual value, as can be seen in the following equation:

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The number of samples is represented in the preceding equation by , where is an actual value and is a forecasted value.

MSE may be the most used performance metric, but it does have its downside. Because it is not scaled to the data, its value is not easy to interpret – the unit of MSE is the square of your...