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Prophet.rb

Time series forecasting for Ruby, ported from Prophet

Supports:

  • Multiple seasonalities
  • Linear and non-linear growth
  • Holidays and special events

And gracefully handles missing data

Build Status

Installation

Add this line to your application’s Gemfile:

gem "prophet-rb"

Simple API

Forecasting

Get future predictions for a time series

series = {
  Date.parse("2020-01-01") => 100,
  Date.parse("2020-01-02") => 150,
  Date.parse("2020-01-03") => 136,
  # ...
}

Prophet.forecast(series)

Specify the number of predictions to return

Prophet.forecast(series, count: 3)

Works great with Groupdate

series = User.group_by_day(:created_at).count
Prophet.forecast(series)

And supports advanced API options

Prophet.forecast(series, growth: "logistic", weekly_seasonality: false)

Anomaly Detection

Detect anomalies in a time series

Prophet.anomalies(series)

Specify the width of uncertainty intervals (decrease for more anomalies)

Prophet.anomalies(series, interval_width: 0.99)

Also supports advanced API options

Prophet.anomalies(series, growth: "logistic", weekly_seasonality: false)

Advanced API

Check out the Prophet documentation for a great explanation of all of the features. The advanced API follows the Python API and supports the same features. It uses Rover for data frames.

Advanced Quick Start

Explanation

Create a data frame with ds and y columns - here’s an example you can use

df = Rover.read_csv("example_wp_log_peyton_manning.csv")
df.head
ds y
2007-12-10 9.59076113
2007-12-11 8.51959031
2007-12-12 8.18367658
2007-12-13 8.07246736
2007-12-14 7.89357207

Fit a model

m = Prophet.new
m.fit(df)

Make a data frame with a ds column for future predictions

future = m.make_future_dataframe(periods: 365)
future.tail
ds
2017-01-15
2017-01-16
2017-01-17
2017-01-18
2017-01-19

Make predictions

forecast = m.predict(future)
forecast[["ds", "yhat", "yhat_lower", "yhat_upper"]].tail
ds yhat yhat_lower yhat_upper
2017-01-15 8.21192840 7.52526442 8.92389960
2017-01-16 8.53696359 7.79124970 9.22620028
2017-01-17 8.32439891 7.62482699 9.04719328
2017-01-18 8.15702395 7.40079968 8.91301650
2017-01-19 8.16900433 7.45673678 8.83486188

Plots

For plots, install the matplotlib gem.

Plot the forecast

m.plot(forecast).savefig("forecast.png")

Forecast

Plot components

m.plot_components(forecast).savefig("components.png")

Components

Saturating Forecasts

Explanation

Forecast logistic growth instead of linear

df = Rover.read_csv("example_wp_log_R.csv")
df["cap"] = 8.5
m = Prophet.new(growth: "logistic")
m.fit(df)
future = m.make_future_dataframe(periods: 1826)
future["cap"] = 8.5
forecast = m.predict(future)

Saturating minimum

df["y"] = 10 - df["y"]
df["cap"] = 6
df["floor"] = 1.5
future["cap"] = 6
future["floor"] = 1.5
m = Prophet.new(growth: "logistic")
m.fit(df)
forecast = m.predict(future)

Trend Changepoints

Explanation

Plot changepoints

fig = m.plot(forecast)
m.add_changepoints_to_plot(fig.gca, forecast)

Adjust trend flexibility

m = Prophet.new(changepoint_prior_scale: 0.5)

Specify the location of changepoints

m = Prophet.new(changepoints: ["2014-01-01"])

Holidays and Special Events

Explanation

Create a data frame with holiday and ds columns. Include all occurrences in your past data and future occurrences you’d like to forecast.

playoffs = Rover::DataFrame.new(
  "holiday" => "playoff",
  "ds" => [
    "2008-01-13", "2009-01-03", "2010-01-16",
    "2010-01-24", "2010-02-07", "2011-01-08",
    "2013-01-12", "2014-01-12", "2014-01-19",
    "2014-02-02", "2015-01-11", "2016-01-17",
    "2016-01-24", "2016-02-07"
  ],
  "lower_window" => 0,
  "upper_window" => 1
)
superbowls = Rover::DataFrame.new(
  "holiday" => "superbowl",
  "ds" => ["2010-02-07", "2014-02-02", "2016-02-07"],
  "lower_window" => 0,
  "upper_window" => 1
)
holidays = playoffs.concat(superbowls)

m = Prophet.new(holidays: holidays)
m.fit(df)

Add country-specific holidays

m = Prophet.new
m.add_country_holidays("US")
m.fit(df)

Specify custom seasonalities

m = Prophet.new(weekly_seasonality: false)
m.add_seasonality(name: "monthly", period: 30.5, fourier_order: 5)
forecast = m.fit(df).predict(future)

Specify additional regressors

nfl_sunday = lambda do |ds|
  date = ds.respond_to?(:to_date) ? ds.to_date : Date.parse(ds)
  date.wday == 0 && (date.month > 8 || date.month < 2) ? 1 : 0
end

df["nfl_sunday"] = df["ds"].map(&nfl_sunday)

m = Prophet.new
m.add_regressor("nfl_sunday")
m.fit(df)

future["nfl_sunday"] = future["ds"].map(&nfl_sunday)

forecast = m.predict(future)

Multiplicative Seasonality

Explanation

Specify multiplicative seasonality

df = Rover.read_csv("example_air_passengers.csv")
m = Prophet.new(seasonality_mode: "multiplicative")
m.fit(df)
future = m.make_future_dataframe(periods: 50, freq: "MS")
forecast = m.predict(future)

Specify mode when adding seasonality and regressors

m = Prophet.new(seasonality_mode: "multiplicative")
m.add_seasonality(name: "quarterly", period: 91.25, fourier_order: 8, mode: "additive")
m.add_regressor("regressor", mode: "additive")

Uncertainty Intervals

Explanation

Specify the width of uncertainty intervals (80% by default)

Prophet.new(interval_width: 0.95)

Get uncertainty in seasonality

Prophet.new(mcmc_samples: 300)

Outliers

Explanation

Remove outliers

df = Rover.read_csv("example_wp_log_R_outliers1.csv")
df["y"][(df["ds"] > "2010-01-01") & (df["ds"] < "2011-01-01")] = Float::NAN
m = Prophet.new.fit(df)

Non-Daily Data

Explanation

Sub-daily data

df = Rover.read_csv("example_yosemite_temps.csv")
m = Prophet.new(changepoint_prior_scale: 0.01).fit(df)
future = m.make_future_dataframe(periods: 300, freq: "H")
forecast = m.predict(future)

Diagnostics

Explanation

Cross validation

df_cv = Prophet::Diagnostics.cross_validation(m, initial: "730 days", period: "180 days", horizon: "365 days")

Custom cutoffs

cutoffs = ["2013-02-15", "2013-08-15", "2014-02-15"].map { |v| Time.parse("#{v} 00:00:00 UTC") }
df_cv2 = Prophet::Diagnostics.cross_validation(m, cutoffs: cutoffs, horizon: "365 days")

Get performance metrics

df_p = Prophet::Diagnostics.performance_metrics(df_cv)

Plot cross validation metrics

Prophet::Plot.plot_cross_validation_metric(df_cv, metric: "mape")

Hyperparameter tuning

param_grid = {
  changepoint_prior_scale: [0.001, 0.01, 0.1, 0.5],
  seasonality_prior_scale: [0.01, 0.1, 1.0, 10.0]
}

# Generate all combinations of parameters
all_params = param_grid.values[0].product(*param_grid.values[1..-1]).map { |v| param_grid.keys.zip(v).to_h }
rmses = [] # Store the RMSEs for each params here

# Use cross validation to evaluate all parameters
all_params.each do |params|
  m = Prophet.new(**params).fit(df) # Fit model with given params
  df_cv = Prophet::Diagnostics.cross_validation(m, cutoffs: cutoffs, horizon: "30 days")
  df_p = Prophet::Diagnostics.performance_metrics(df_cv, rolling_window: 1)
  rmses << df_p["rmse"][0]
end

# Find the best parameters
tuning_results = Rover::DataFrame.new(all_params)
tuning_results["rmse"] = rmses
p tuning_results

Additional Topics

Explanation

Save a model

File.write("model.json", m.to_json)

Load a model

m = Prophet.from_json(File.read("model.json"))

Uses the same format as Python, so models can be saved and loaded in either language

Flat trend

m = Prophet.new(growth: "flat")

Updating fitted models

def stan_init(m)
  res = {}
  ["k", "m", "sigma_obs"].each do |pname|
    res[pname] = m.params[pname][0, true][0]
  end
  ["delta", "beta"].each do |pname|
    res[pname] = m.params[pname][0, true]
  end
  res
end

df = Rover.read_csv("example_wp_log_peyton_manning.csv")
df1 = df[df["ds"] <= "2016-01-19"] # All data except the last day
m1 = Prophet.new.fit(df1) # A model fit to all data except the last day

m2 = Prophet.new.fit(df) # Adding the last day, fitting from scratch
m2 = Prophet.new.fit(df, init: stan_init(m1)) # Adding the last day, warm-starting from m1

Resources

Upgrading

0.2.0

Prophet now uses Rover instead of Daru. Two changes you may need to make are:

  • Rover.read_csv instead of Daru::DataFrame.from_csv
  • df[["ds", "yhat"]] instead of df["ds", "yhat"]

Credits

This library was ported from the Prophet Python library and is available under the same license.

History

View the changelog

Contributing

Everyone is encouraged to help improve this project. Here are a few ways you can help:

To get started with development:

git clone https://github.com/ankane/prophet-ruby.git
cd prophet-ruby
bundle install
bundle exec rake vendor:all
bundle exec rake test