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

The math behind Prophet

In Chapter 1, The History and Development of Time Series Forecasting, we introduced Prophet as an additive regression model. Figures 1.4 and 1.5 in that chapter illustrated this by showing how several different curves representing model components can simply be added together to arrive at a final model. Mathematically, this is represented with the following equation:

(1)

The model’s forecasted value at time is given by the function. This function consists of four components, summed together (or multiplied together; see Chapter 5, Working with Seasonality, for more on this):

  • is the growth component, or the general trend, which is non-periodic
  • is the seasonality component – that is, the summation of all periodic components
  • is the holiday component, representing all one-off special events
  • is the error term
...