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

How Prophet Works

Sometimes, Prophet can feel like magic, creating a complex forecast with barely any user instructions! But if you understand the equations behind Prophet, you’ll notice that it isn’t magic at all, but in fact, a very flexible algorithm for extracting multiple simultaneous patterns in the data.

All of this math may feel intimidating to those without a strong statistical background, but it is actually quite approachable, and an understanding of the math behind the magic will be to your benefit as you begin to forecast more complex datasets. In this chapter, we’ll walk through all of the relevant equations together. If you start to feel lost, don’t fret! All will become clear as you use Prophet more and more.

This chapter will introduce the reasons Facebook (now, Meta) chose to develop its own forecasting package, rather than rely on one of the many already existing tools. Next, you will learn about Facebook’s forecasting philosophy...