Utilizing a number of mannequin kinds to seize and forecast the parts of complicated time collection

I lately needed to repair the fence in my again yard. It’s outdated, picket, and has been threatening to topple over for some time now. Between curses it actually struck me what number of instruments I wanted to make use of to get the job carried out, and the way generally you actually need a couple of instrument for the job.

What does this should do with time collection regression? Typically, little or no. Specifically, fairly a bit: right this moment we’ll be diving into utilizing blended fashions for time collection evaluation and forecasting. Or in additional DIY phrases — utilizing extra mannequin instruments to get the forecasting job carried out.

So, with out an excessive amount of extra rambling, we are going to get cracking with:

1. Revisiting the large image, and speaking a bit about blended fashions.
2. Taking a look at some real-world knowledge.
3. Utilizing a easy mannequin to seize the pattern in our time collection.
4. Seasonality 3 ways: resolution timber, linear regression, and traditional time collection.
5. Placing Humpty Dumpty again collectively to get a single time collection prediction.

Apart: you’ll be happy to know that my thumbs have made a full restoration following some hammer-related accidents.

As all the time, we’re attempting to construct probably the most “correct” mannequin potential. On this case, we’re specializing in forecasting so we’ll prioritise fashions which might produce probably the most correct estimates of future time collection values.

I’ve beforehand written at size about utilizing a regression strategy based mostly on Meta’s Prophet methodology. In these articles, I defined why I selected to make use of the LASSO mannequin: non-stationarity made utilizing traditional strategies troublesome, the necessity for wise extrapolation dominated out tree-based approaches, and the will for simplicity and explainability excluded any type of neural community.

However I additionally hinted at utilizing blended mannequin kinds — that’s, modelling every of the time collection parts utilizing a distinct mannequin kind, and mixing the output of the…