series_decompose_forecast()

Forecast based on series decomposition.

Takes an expression containing a series (dynamic numerical array) as input, and predicts the values of the last trailing points. For more information, see series_decompose.

Syntax

series_decompose_forecast(Series , Points [, Seasonality, Trend, Seasonality_threshold])

Arguments

  • Series: Dynamic array cell of numeric values. Typically, the resulting output of make-series or make_list operators.
  • Points: Integer specifying the number of points at the end of the series to predict (forecast). These points are excluded from the learning (regression) process.
  • Seasonality: An integer controlling the seasonal analysis, containing one of:
    • -1: Autodetect seasonality using series_periods_detect (default).
    • period: Positive integer, specifying the expected period in number of bins. For example, if the series is in 1h bins, a weekly period is 168 bins.
    • 0: No seasonality (skip extracting this component).
  • Trend: A string controlling the trend analysis, containing one of:
    • linefit: Extract trend component using linear regression (default).
    • avg: Define trend component as average(x).
    • none: No trend, skip extracting this component.
  • Seasonality_threshold: The threshold for seasonality score when Seasonality is set to autodetect. The default score threshold is 0.6. For more information, see series_periods_detect.

Return

A dynamic array with the forecasted series.

Note

  • The dynamic array of the original input series should include a number of points slots to be forecasted. The forecast is typically done by using make-series and specifying the end time in the range that includes the timeframe to forecast.
  • Either seasonality or trend should be enabled, otherwise the function is redundant, and just returns a series filled with zeroes.

Example

In the following example, we generate a series of four weeks in an hourly grain, with weekly seasonality and a small upward trend. We then use make-series and add another empty week to the series. series_decompose_forecast is called with a week (24*7 points), and it automatically detects the seasonality and trend, and generates a forecast of the entire five-week period.

let ts=range t from 1 to 24*7*4 step 1 // generate 4 weeks of hourly data
| extend Timestamp = datetime(2018-03-01 05:00) + 1h * t 
| extend y = 2*rand() + iff((t/24)%7>=5, 5.0, 15.0) - (((t%24)/10)*((t%24)/10)) + t/72.0 // generate a series with weekly seasonality and ongoing trend
| extend y=iff(t==150 or t==200 or t==780, y-8.0, y) // add some dip outliers
| extend y=iff(t==300 or t==400 or t==600, y+8.0, y) // add some spike outliers
| make-series y=max(y) on Timestamp in range(datetime(2018-03-01 05:00), datetime(2018-03-01 05:00)+24*7*5h, 1h); // create a time series of 5 weeks (last week is empty)
ts 
| extend y_forcasted = series_decompose_forecast(y, 24*7)  // forecast a week forward
| render timechart 

Series decompose forecast.