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

Understanding additive versus multiplicative seasonality

In our Mauna Loa example in Chapter 2, Getting Started with Prophet, the yearly seasonality was constant at all values along the trend line. We added the values predicted by the seasonality curve to the values predicted by the trend curve to arrive at our forecast. There is an alternative mode of seasonality, though, where we can multiply the trend curve by the seasonality. Take a look at this figure:

Figure 5.1 – Additive versus multiplicative seasonality

Figure 5.1 – Additive versus multiplicative seasonality

The upper curve demonstrates additive seasonality – the dashed lines that trace the bounds of the seasonality are parallel because the magnitude of seasonality does not change, only the trend does. In the lower curve, though, these two dashed lines are not parallel. Where the trend is low, the spread caused by seasonality is low; but where the trend is high, the spread caused by seasonality is high. This can be modeled with multiplicative...