"""Prophet is a procedure for forecasting time series data based on an additive model where non-linear trends are fit with yearly, weekly, and daily seasonality, plus holiday effects. It works best with time series that have strong seasonal effects and several seasons of historical data. Prophet is robust to missing data and shifts in the trend, and typically handles outliers well."""
import copy
import numpy as np
import pandas as pd
from skopt.space import Real
from evalml.model_family import ModelFamily
from evalml.pipelines.components.estimators import Estimator
from evalml.problem_types import ProblemTypes
from evalml.utils import import_or_raise, infer_feature_types
from evalml.utils.gen_utils import classproperty
[docs]class ProphetRegressor(Estimator):
"""Prophet is a procedure for forecasting time series data based on an additive model where non-linear trends are fit with yearly, weekly, and daily seasonality, plus holiday effects. It works best with time series that have strong seasonal effects and several seasons of historical data. Prophet is robust to missing data and shifts in the trend, and typically handles outliers well.
More information here: https://facebook.github.io/prophet/
"""
name = "Prophet Regressor"
hyperparameter_ranges = {
"changepoint_prior_scale": Real(0.001, 0.5),
"seasonality_prior_scale": Real(0.01, 10),
"holidays_prior_scale": Real(0.01, 10),
"seasonality_mode": ["additive", "multiplicative"],
}
"""{
"changepoint_prior_scale": Real(0.001, 0.5),
"seasonality_prior_scale": Real(0.01, 10),
"holidays_prior_scale": Real(0.01, 10),
"seasonality_mode": ["additive", "multiplicative"],
}"""
model_family = ModelFamily.PROPHET
"""ModelFamily.PROPHET"""
supported_problem_types = [ProblemTypes.TIME_SERIES_REGRESSION]
"""[ProblemTypes.TIME_SERIES_REGRESSION]"""
def __init__(
self,
date_index=None,
changepoint_prior_scale=0.05,
seasonality_prior_scale=10,
holidays_prior_scale=10,
seasonality_mode="additive",
random_seed=0,
stan_backend="CMDSTANPY",
**kwargs,
):
parameters = {
"changepoint_prior_scale": changepoint_prior_scale,
"seasonality_prior_scale": seasonality_prior_scale,
"holidays_prior_scale": holidays_prior_scale,
"seasonality_mode": seasonality_mode,
"stan_backend": stan_backend,
}
parameters.update(kwargs)
c_error_msg = (
"cmdstanpy is not installed. Please install using `pip install cmdstanpy`."
)
_ = import_or_raise("cmdstanpy", error_msg=c_error_msg)
p_error_msg = (
"prophet is not installed. Please install using `pip install prophet`."
)
prophet = import_or_raise("prophet", error_msg=p_error_msg)
prophet_regressor = prophet.Prophet(**parameters)
parameters["date_index"] = date_index
super().__init__(
parameters=parameters,
component_obj=prophet_regressor,
random_state=random_seed,
)
[docs] @staticmethod
def build_prophet_df(X, y=None, date_column="ds"):
"""Build the Prophet data to pass fit and predict on."""
if X is not None:
X = copy.deepcopy(X)
if y is not None:
y = copy.deepcopy(y)
if date_column in X.columns:
date_column = X.pop(date_column)
else:
if isinstance(X.index, pd.DatetimeIndex):
X = X.reset_index()
date_column = X.pop("index")
elif isinstance(y.index, pd.DatetimeIndex):
y = y.reset_index()
date_column = y.pop("index")
y = pd.Series(y.values.flatten())
else:
msg = "Prophet estimator requires input data X to have a datetime column specified by the 'date_index' parameter. If it doesn't find one, it will look for the datetime column in the index of X or y."
raise ValueError(msg)
prophet_df = X
if y is not None:
if not prophet_df.empty:
y.index = prophet_df.index
prophet_df["y"] = y
prophet_df["ds"] = date_column
return prophet_df
[docs] def fit(self, X, y=None):
"""Fits Prophet regressor component to data.
Args:
X (pd.DataFrame): The input training data of shape [n_samples, n_features].
y (pd.Series): The target training data of length [n_samples].
Returns:
self
"""
if X is None:
X = pd.DataFrame()
X, y = super()._manage_woodwork(X, y)
prophet_df = ProphetRegressor.build_prophet_df(
X=X, y=y, date_column=self.parameters["date_index"]
)
self._component_obj.fit(prophet_df)
return self
[docs] def predict(self, X, y=None):
"""Make predictions using fitted Prophet regressor.
Args:
X (pd.DataFrame): Data of shape [n_samples, n_features].
y (pd.Series): Target data.
Returns:
pd.Series: Predicted values.
"""
if X is None:
X = pd.DataFrame()
X = infer_feature_types(X)
prophet_df = ProphetRegressor.build_prophet_df(
X=X, y=y, date_column=self.parameters["date_index"]
)
prophet_output = self._component_obj.predict(prophet_df)
predictions = prophet_output["yhat"]
predictions = infer_feature_types(predictions)
predictions = predictions.rename(None)
if not X.empty:
predictions.index = X.index
return predictions
[docs] def get_params(self):
"""Get parameters for the Prophet regressor."""
return self.__dict__["_parameters"]
@property
def feature_importance(self):
"""Returns array of 0's with len(1) as feature_importance is not defined for Prophet regressor."""
return np.zeros(1)
@classproperty
def default_parameters(cls):
"""Returns the default parameters for this component.
Returns:
dict: Default parameters for this component.
"""
parameters = {
"changepoint_prior_scale": 0.05,
"date_index": None,
"seasonality_prior_scale": 10,
"holidays_prior_scale": 10,
"seasonality_mode": "additive",
"stan_backend": "CMDSTANPY",
}
return parameters