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

In this chapter, you learned how to use Prophet’s performance metrics to extend the usefulness of cross-validation. You learned about the six metrics Prophet has out of the box, namely, MSE, RMSE, MAE, MAPE, MdAPE, and coverage. You learned about many of the advantages and disadvantages of these metrics, and situations where you may want to use or avoid any one of them.

Next, you learned how to create Prophet’s performance metrics DataFrame and use it to create a plot of your preferred cross-validation metric so as to be able to evaluate the performance of your model on unseen data across a range of forecast horizons. You then used this plot with the WFP’s rainfall data to see a situation where Prophet’s automatic cut-off date selection is not ideal, and how to create custom cut-off dates.

Finally, you brought all of this together in an exhaustive grid search of Prophet hyperparameters. This process enabled you to use a data-driven technique...