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

Controlling seasonality with the Fourier order

Seasonality is at the heart of how Prophet works, and Fourier series are used to model seasonality. To understand what a Fourier series is, and how the Fourier order relates to it, I’ll use an analogy from linear regression.

You may know that increasing the order of a polynomial equation in linear regression will always improve your goodness of fit. For example, the simple linear regression equation is , with being the slope of the line and being the -intercept. Increasing the order of your equation to, say, will always improve your fit, at the risk of overfitting and capturing noise. You can always achieve an value of 1 (perfect fit) by arbitrarily increasing the order of your polynomial equation higher and higher. The following figure illustrates how higher-order fits start to become quite unrealistic and overfit, though:

Figure 5.10 – Linear regression with higher-order polynomials

Figure 5.10 – Linear regression with higher-order polynomials

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