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.
- 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.
A dynamic array with the forecasted series.
- 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.
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