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

Tuning hyperparameters with grid search

For the final section of this chapter, we’ll look at grid search and work through an example, continuing with this rainfall data. If you’re not familiar with the concept of grid search, it’s a way to exhaustively check all reasonable combinations of hyperparameters against a performance indicator and choose the best combination to train your final model. With Prophet, you might decide to select the following hyperparameters and values:

Figure 13.8 – Prophet grid search parameters

Figure 13.8 – Prophet grid search parameters

With these parameters, a grid search will iterate through each unique combination, use cross-validation to calculate and save a performance metric, and then output the set of parameter values that resulted in the best performance.

Prophet does not have a grid search method the way, for example, sklearn does. One is easy enough to build yourself in Python though, so let’s see how to set it up. The first...