跨多个组使用 R Prophet

Question

我之前使用 Prophet 来预测单个指标，但现在我需要使用大约 3 年的历史数据并包括多个组来预测到 2022 年。我不想为每种可能性创建 1000 多个预测，所以希望我可以在 Prophet 中做到这一点。

我已经阅读了 Stackoverflow 上的 couple of solutions，它适用于单个组，但我要预测 3 个不同的组。

下面我创建了一个示例表，其中包含显示数据格式的虚拟 Y 数据： （注意：可以并且将会有零值，但如果它会对输出产生负面影响，我可以排除它们）

ds	establishment	category	channel	y
2020-01-01	High School	Stationery	Direct	27
2020-01-01	High School	Stationery	Paid Search	31
2020-01-01	High School	Arts	Direct	47
2020-01-01	High School	Arts	Paid Search	0
2020-01-01	College	Stationery	Direct	60
2020-01-01	College	Stationery	Paid Search	35
2020-01-01	College	Arts	Direct	54
2020-01-01	College	Arts	Paid Search	15
2020-01-02	High School	Stationery	Direct	27
2020-01-02	High School	Stationery	Paid Search	31
2020-01-02	High School	Arts	Direct	47
2020-01-02	High School	Arts	Paid Search	0
2020-01-02	College	Stationery	Direct	60
2020-01-02	College	Stationery	Paid Search	35
2020-01-02	College	Arts	Direct	54
2020-01-02	College	Arts	Paid Search	15
2020-01-03	High School	Stationery	Direct	27
2020-01-03	High School	Stationery	Paid Search	31
2020-01-03	High School	Arts	Direct	47
2020-01-03	High School	Arts	Paid Search	0
2020-01-03	College	Stationery	Direct	60
2020-01-03	College	Stationery	Paid Search	35
2020-01-03	College	Arts	Direct	54
2020-01-03	College	Arts	Paid Search	15
...	...	...	...	...

以下代码适用于单个组，但我想将其扩展为包括所有组。

d1 <- df %>%
  nest(-establishment) %>%
  mutate(m = map(data, prophet)) %>%
  mutate(future = map(m, make_future_dataframe, period = 730)) %>%
  mutate(forecast = map2(m, future, predict))

d <- d1 %>%
  unnest(forecast) %>%
  select(ds, establishmentShortcut, yhat)

如果有人可以推荐解决方案，我将不胜感激。

Answer 1

这就是 fable 包的设计目的。有一个用于处理先知模型的寓言扩展名为fable.prophet。这是一个使用与您的数据相同的结构的示例。

library(fable.prophet)
library(dplyr)
library(tibble)
library(tsibble)

df <- tibble(
    ds = rep(seq(as.Date("2020-01-01"), by="1 day", length=50), rep(8,50)),
    establishment = rep(rep(c("High School","College"), c(4,4)), 50),
    category = rep(rep(c("Stationery","Arts"), c(2,2)), 100),
    channel = rep(c("Direct","Paid Search"), 200),
    y = sample(0:100, 400, replace=TRUE)
  ) %>%
  as_tsibble(index=ds, key=c("establishment","category","channel"))

fc <- df %>%
  model(
    prophet = prophet(y),
  ) %>%
  forecast(h=10)

^{由reprex package (v2.0.1) 于 2021-08-07 创建}

您可以将prophet() 换成fable 包中的任何其他型号。详情请见https://otexts.com/fpp3/。