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

Working with Seasonality

One quality that sets time series apart from other datasets is that very often – but not always – the data has a certain rhythm to it. That rhythm may be yearly, possibly due to the Earth’s rotation around the Sun, or daily, if rooted in the Earth’s rotation around its axis. The tidal cycle follows the Moon’s rotation around the Earth.

Traffic congestion follows the human activity cycle throughout the day and the 5-day workweek, followed by the 2-day weekend; financial activity follows the quarterly business cycle. Your own body follows cycles due to your heartbeat, breathing rate, and circadian rhythm. On very small physical and very short temporal scales, the vibration of atoms is a cause of periodicity in data. Prophet calls these cycles seasonalities.

In this chapter, you will learn about all the different types of seasonalities Prophet fits by default, how to add new ones, and how to control them. In particular...