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Time Series Visualization and Forecasting

A Guide to Time Series Forecasting…

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A Guide to Time Series Forecasting with Prophet in

Python 3 11

Posted April 4, 2017  63.5k PYTHON DATA ANALYSIS DEVELOPMENT PROGRAMMING PROJECT

By: Thomas Vincent

Introduction
In previous tutorials, we showed how to visualize and manipulate time series data, and how to
leverage the ARIMA method to produce forecasts from time series data. We noted how the
correct parametrization of ARIMA models could be a complicated manual process that required a
certain amount of time.

Other statistical programming languages such a R provide automated ways to solve this issue,
but those have yet to be officially ported over to Python. Fortunately, the Core Data Science
team at Facebook recently published a new method called Prophet , which enables data
analysts and developers alike to perform forecasting at scale in Python 3.

Prerequisites
This guide will cover how to do time series analysis on either a local desktop or a remote server.
Working with large datasets can be memory intensive, so in either case, the computer will need
at least 2GB of memory to perform some of the calculations in this guide.

For this tutorial, we’ll be using Jupyter Notebook to work with the data. If you do not have it
already, you should follow our tutorial to install and set up Jupyter Notebook for Python 3.

Step 1 — Pull Dataset and Install Packages

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To set
Time up our
Series environment
Visualization andfor time series forecasting with Prophet, let’s first move into our local
Forecasting
Aprogramming
Guide to Timeenvironment or server-based programming environment:
Series Forecasting…

sammy@ubuntu:~$ cd environments

sammy@ubuntu:~/environments$ . my_env/bin/activate

From here, let’s create a new directory for our project. We will call it timeseries and then move
into the directory. If you call the project a different name, be sure to substitute your name for
timeseries throughout the guide:

(my_env) sammy@ubuntu:~/environments$ mkdir timeseries

(my_env) sammy@ubuntu:~/environments$ cd timeseries

We'll be working with the Box and Jenkins (1976) Airline Passengers dataset, which contains time
series data on the monthly number of airline passengers between 1949 and 1960. You can save
the data by using the curl command with the -O flag to write output to a file and download the
CSV:

curl -O https://assets.digitalocean.com/articles/eng_python/prophet/AirPassengers.csv

This tutorial will require the pandas , matplotlib , numpy , cython and fbprophet libraries. Like
most other Python packages, we can install the pandas , numpy , cython and matplotlib
libraries with pip:

pip install pandas matplotlib numpy cython

In order to compute its forecasts, the fbprophet library relies on the STAN programming
language, named in honor of the mathematician Stanislaw Ulam. Before installing fbprophet ,
we therefore need to make sure that the pystan Python wrapper to STAN is installed:

pip install pystan

Once this is done we can install Prophet by using pip:

pip install fbprophet

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Now Series
Time that we are all set up,
Visualization andwe can start working with the installed packages.
Forecasting
A Guide to Time Series Forecasting…

Step 2 — Import Packages and Load Data

To begin working with our data, we will start up Jupyter Notebook:

(my_env) sammy@ubuntu:~/environments/timeseries$ jupyter notebook

To create a new notebook file, select New > Python 3 from the top right pull-down menu:

This will open a notebook which allows us to load the required libraries.

As is best practice, start by importing the libraries you will need at the top of your notebook
(notice the standard shorthands used to reference pandas , matplotlib and statsmodels ):

%matplotlib inline
import pandas as pd
from fbprophet import Prophet

import matplotlib.pyplot as plt

plt.style.use('fivethirtyeight')

Notice how we have also defined the fivethirtyeight matplotlib style for our plots.

After each code block in this tutorial, you should type ALT + ENTER to run the code and move
into a new code block within your notebook.

Let's start by reading in our time series data. We can load the CSV file and print out the first 5
lines with the following commands:

df = pd.read_csv('AirPassengers.csv')

df.head(5) S C R O L L TO TO P

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Time Series Visualization and Forecasting

A Guide to Time Series Forecasting…

Our DataFrame clearly contains a Month and AirPassengers column. The Prophet library
expects as input a DataFrame with one column containing the time information, and another
column containing the metric that we wish to forecast. Importantly, the time column is expected
to be of the datetime type, so let's check the type of our columns:

df.dtypes

Output
Month object
AirPassengers int64
dtype: object

Because the Month column is not of the datetime type, we'll need to convert it:

df['Month'] = pd.DatetimeIndex(df['Month'])
df.dtypes

Output
Month datetime64[ns]
AirPassengers int64
dtype: object

We now see that our Month column is of the correct datetime type.

Prophet also imposes the strict condition that the input columns be named ds (the time column)
and y (the metric column), so let's rename the columns in our DataFrame:

df = df.rename(columns={'Month': 'ds',
'AirPassengers': 'y'})

df.head(5)

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Time Series Visualization and Forecasting

A Guide to Time Series Forecasting…

It is good practice to visualize the data we are going to be working with, so let's plot our time
series:

ax = df.set_index('ds').plot(figsize=(12, 8))
ax.set_ylabel('Monthly Number of Airline Passengers')
ax.set_xlabel('Date')

plt.show()

With our data now prepared, we are ready to use the Prophet library to produce forecasts of our
time series.

Step 3 — Time Series Forecasting with Prophet

In this section, we will describe how to use the Prophet library to predict future values of our time
S C R O L L TO TO P
series. The authors of Prophet have abstracted away many of the inherent complexities of time

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series
Time forecasting
Series and made
Visualization it more intuitive for analysts and developers alike to work with time
and Forecasting
Aseries
Guidedata.
to Time Series Forecasting…

To begin, we must instantiate a new Prophet object. Prophet enables us to specify a number of
arguments. For example, we can specify the desired range of our uncertainty interval by setting
the interval_width parameter.

# set the uncertainty interval to 95% (the Prophet default is 80%)

my_model = Prophet(interval_width=0.95)

Now that our Prophet model has been initialized, we can call its fit method with our DataFrame
as input. The model fitting should take no longer than a few seconds.

my_model.fit(df)

You should receive output similar to this:

Output
<fbprophet.forecaster.Prophet at 0x110204080>

In order to obtain forecasts of our time series, we must provide Prophet with a new DataFrame
containing a ds column that holds the dates for which we want predictions. Conveniently, we do
not have to concern ourselves with manually creating this DataFrame, as Prophet provides the
make_future_dataframe helper function:

future_dates = my_model.make_future_dataframe(periods=36, freq='MS')

future_dates.tail()

In the code chunk above, we instructed Prophet to generate 36 datestamps in the future.

When working with Prophet, it is important to consider the frequency of our time series. Because
we are working with monthly data, we clearly specified the desired frequency of the timestamps
(in this case, MS is the start of the month).S Therefore, the
C R O L L TO TO P make_future_dataframe generated 36

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monthly
Time timestamps
Series for and
Visualization us. InForecasting
other words, we are looking to predict future values of our time
Aseries
Guide3toyears
Timeinto theForecasting…
Series future.

The DataFrame of future dates is then used as input to the predict method of our fitted model.

forecast = my_model.predict(future_dates)
forecast[['ds', 'yhat', 'yhat_lower', 'yhat_upper']].tail()

Prophet returns a large DataFrame with many interesting columns, but we subset our output to
the columns most relevant to forecasting, which are:

ds : the datestamp of the forecasted value

yhat : the forecasted value of our metric (in Statistics, yhat is a notation traditionally used to
represent the predicted values of a value y )

yhat_lower : the lower bound of our forecasts

yhat_upper : the upper bound of our forecasts

A variation in values from the output presented above is to be expected as Prophet relies on
Markov chain Monte Carlo (MCMC) methods to generate its forecasts. MCMC is a stochastic
process, so values will be slightly different each time.

Prophet also provides a convenient function to quickly plot the results of our forecasts:

my_model.plot(forecast,
uncertainty=True)

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Time Series Visualization and Forecasting

A Guide to Time Series Forecasting…

Prophet plots the observed values of our time series (the black dots), the forecasted values (blue
line) and the uncertainty intervals of our forecasts (the blue shaded regions).

One other particularly strong feature of Prophet is its ability to return the components of our
forecasts. This can help reveal how daily, weekly and yearly patterns of the time series
contribute to the overall forecasted values:

my_model.plot_components(forecast)

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Time Series Visualization and Forecasting

A Guide to Time Series Forecasting…

The plot above provides interesting insights. The first plot shows that the monthly volume of
airline passengers has been linearly increasing over time. The second plot highlights the fact
that the weekly count of passengers peaks towards the end of the week and on Saturday, while
the third plot shows that the most traffic occurs during the holiday months of July and August.

Conclusion
In this tutorial, we described how to use the Prophet library to perform time series forecasting in
Python. We have been using out-of-the box parameters, but Prophet enables us to specify many
more arguments. In particular, Prophet provides the functionality to bring your own knowledge
about time series to the table.

Here are a few additional things you could try:

Assess the effect of holidays by includingS Cyour

R O L Lprior
TO TOknowledge
P on holiday months (for example,
we know that the month of December is a holiday month). The official documentation on
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modeling
Time Seriesholidays will be
Visualization helpful.
and Forecasting
A Guide to Time Series Forecasting…
Change the range of your uncertainty intervals, or forecast further into the future.

For more practice, you could also try to load another time series dataset to produce your own
forecasts. Overall, Prophet offers a number of compelling features, including the opportunity to
tailor the forecasting model to the requirements of the user.

By: Thomas Vincent Upvote (11)  Subscribe

Editor:
Lisa Tagliaferri

Tutorial Series

Time Series Visualization and Forecasting

Time series are a pivotal component of data analysis. This series goes through how
to handle time series visualization and forecasting in Python 3.

Show Tutorials

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5 Comments

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Time subratac353
Series Visualization
October 17,and Forecasting
2017
A Guide to Time Series Forecasting…
0 How are you getting a weekly trend when the data is at a monthly level? I would think that one can
get monthly and yearly trend from a monthly data, but not weekly?

sarangkartikey50 April 1, 2018

0 INFO:fbprophet.forecaster:Disabling daily seasonality. Run prophet with daily_seasonality=True to

override this.
Initial log joint probability = -2.46502
Iter log prob ||dx|| ||grad|| alpha alpha0 # evals Notes
99 402.571 0.000207143 101.815 0.9661 0.9661 136

Iter log prob ||dx|| ||grad|| alpha alpha0 # evals Notes

199 402.966 1.93889e-06 74.3745 0.2165 0.7593 282

Iter log prob ||dx|| ||grad|| alpha alpha0 # evals Notes

217 402.968 8.45346e-06 60.1757 1.2e-07 0.001 339 LS failed, Hessian reset
247 402.968 1.74976e-08 64.7367 0.2863 0.2863 382

Optimization terminated normally:

Convergence detected: relative gradient magnitude is below tolerance

this output is comming for me. Please help.

vajiraprabuddhaka July 20, 2018

0 Can we adapt this to train for weekly data??

vinaydesaicoding August 29, 2018

0 Thank you for creating such a great walkthrough. In your components visualisation, you've been
able to display trend, weekly and yearly trends. However, in my notebook I only get the trend and
yearly. Why is that?

konomonte September 5, 2018

0 Do you know how uncertainty interval is calculated?

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