Check Forecast Result

The output of run_forecast_config helps you evaluate and interpret the forecast result.

from greykite.framework.templates.autogen.forecast_config import ForecastConfig
from greykite.framework.templates.autogen.forecast_config import MetadataParam
from greykite.framework.templates.forecaster import Forecaster
from greykite.framework.templates.model_templates import ModelTemplateEnum

metadata = MetadataParam(
    time_col="ts",
    value_col="y",
    freq="D"
)
forecaster = Forecaster()
result = forecaster.run_forecast_config(
    df=df,  # input data
    config=ForecastConfig(
        model_template=ModelTemplateEnum.SILVERKITE.name,
        metadata_param=metadata,
        forecast_horizon=30,
        coverage=0.95
    )
)
# `result` is also stored as `forecaster.forecast_result`

The function returns a ForecastResult object. This is a dataclass with the forecast results. Below, we explain how to check each attribute of the class.

Timeseries

timeseries is your original input data, loaded into a UnivariateTimeSeries object. The time series is represented in a standard format with convenient plotting functions and statistics. If MetadataParam.anomaly_info is specified, it contains the values before and after anomaly adjustment. For details, see Examine Input Data.

ts = result.timeseries  # access the time series

Cross validation

grid_search contains the cross validation results. See Evaluation Period for cross validation configuration.

Use summarize_grid_search_results to summarize the results. While grid_search.cv_results_ could be converted into a pandas.DataFrame without this function, the following conveniences are provided:

  • returns the correct ranks based on each metric’s greater_is_better direction.

  • summarizes the hyperparameter space, only showing the parameters that change

  • combines split scores into a tuple to save table width

  • rounds the values to specified decimals

  • orders columns by type (test score, train score, metric, etc.)

from greykite.common.evaluation import EvaluationMetricEnum
from greykite.framework.utils.result_summary import summarize_grid_search_results

grid_search = result.grid_search
# default parameters
summarize_grid_search_results(
    grid_search=grid_search,
    only_changing_params=True,
    combine_splits=True,
    decimals=None,
    score_func=EvaluationMetricEnum.MeanAbsolutePercentError.name,
    score_func_greater_is_better=False,
    cv_report_metrics=CV_REPORT_METRICS_ALL,
    column_order=None
)

# some customization
metric = EvaluationMetricEnum[evaluation_metric.cv_selection_metric]
summarize_grid_search_results(
    grid_search=grid_search,
    decimals=2  # rounds the evaluation metrics
    # List of regex to order the columns in the returned dataframe
    column_order=["rank", "mean_test", "split_test", "mean_train", "split_train",
                  "mean_fit_time", "mean_score_time", "params", ".*"])
)

grid_search is an instance of sklearn.model_selection.RandomizedSearchCV, see documentation for details on its attributes.

Warning

The ranks (e.g. “rank_test_MAPE”) in grid_search.cv_results_ should be ignored. They are reversed for metrics where greater_is_better=False, because sklearn always assumes higher values are better when calculating the ranks, we report metrics with their original sign.

Instead, use summarize_grid_search_results to extract the CV results with proper ranks.

Backtest

backtest checks the forecast accuracy on historical data. It is an instance of UnivariateForecast.

The forecast is computed on a holdout test set toward the end of the input dataset. The length of the holdout test set is configured by test_horizon in the template configuration. See Evaluation Period.

You can plot the results:

backtest = result.backtest
fig = backtest.plot()
fig.show()

Show the evaluation metrics:

print(backtest.train_evaluation)  # backtest training set
print(backtest.test_evaluation)   # hold out test set

See the component plot to understand how factors like trend, seasonality, and holidays are handled by the forecast and to visualize changes points and residuals:

fig = backtest.plot_components()
fig.show()

Access backtest forecasted values and prediction intervals:

backtest.df

You can use backtest.plot_grouping_evaluation() to examine the train/test error by various dimensions (e.g. over time, by day of week). See UnivariateForecast for details.

See EvaluationMetricEnum for the available error metrics and their descriptions.

from greykite.common.evaluation import EvaluationMetricEnum

# MAPE by day of week
fig = backtest.plot_grouping_evaluation(
    score_func=EvaluationMetricEnum.MeanAbsolutePercentError.get_metric_func(),
    score_func_name=EvaluationMetricEnum.MeanAbsolutePercentError.get_metric_name(),
    which="train", # "train" or "test" set
    groupby_time_feature="dow",  # day of week
    groupby_sliding_window_size=None,
    groupby_custom_column=None)
fig.show()

# RMSE over time
fig = backtest.plot_grouping_evaluation(
    score_func=EvaluationMetricEnum.RootMeanSquaredError.get_metric_func(),
    score_func_name=EvaluationMetricEnum.RootMeanSquaredError.get_metric_name(),
    which="test", # "train" or "test" set
    groupby_time_feature=None,
    groupby_sliding_window_size=7,  # weekly aggregation of daily data
    groupby_custom_column=None)
fig.show()

See plot_flexible_grouping_evaluation for a more powerful plotting function to plot the quantiles of the error along with the mean.

You can use component plots for a concise visual representation of how factors like the dataset’s trend, seasonality and holiday patterns are estimated by the forecast model and to visualize other model information like residuals and change points. Currently, by default, Silverkite calculates component plots based on a dataset passed to the fit method, whereas Prophet calculates component plots based on a dataset passed to the predict method. See the discussion below on model forecasts for more information on how to access component plots based on the dataset passed to the predict method in Silverkite.

backtest.plot_components()

Forecast

forecast contains the forecasted values and the fit on the input dataset. It is an instance of UnivariateForecast.

After creating a forecast, plot it to see if it looks reasonable.

forecast = result.forecast
fig = forecast.plot()
fig.show()

Show the error metrics on the training set.

print(forecast.train_evaluation)  # fit on the entire input dataset

Access future forecasted values and prediction intervals:

forecast.df

Just as for backtest, you can use forecast.plot_grouping_evaluation() to examine the training error by various dimensions (e.g. over time, by day of week), and forecast.plot_components() to check the trend, seasonality and holiday effects and visualize change points and residuals. Note that components from the data set used in the predict call can be accessed by .plot_components(predict_phase=True). See UnivariateForecast for details.

Model

model is a sklearn.pipeline.Pipeline object. It was fit to the full dataset, with the best parameters selected via CV. This model was used to generate forecast. You can use it to extract fitted model information (Model Summary) or make another forecast (Simple Forecast).

model = result.model  # access the model