series_decompose_forecast()

Forecast based on series decomposition.

Takes an expression containing a series (dynamic numerical array) as input and predict the values of last trailing points (refer to series_decompose for more details on the decomposition method).

Syntax

series_decompose_forecast(x , points [, seasonality, trend])

Arguments

  • x: Dynamic array cell which is an array 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 either
    • -1: autodetect seasonality (using series_periods_detect [default]
    • period: positive integer, specifying the expected period in number of bins unit. For example, if the series is in 1h bins, a weekly period is 168 bins
    • 0: no seasonality (i.e. skip extracting this component)
  • trend: A string controlling the trend analysis, containing either
    • "linefit": extract trend component using linear regression [default]
    • "avg": define trend component as average(x)
    • "none": no trend, skip extracting this component

Return

A dynamic array with the forecasted series

Notes

  • The dynamic array of the original input series should include a number points slots to be forecasted, this is typically done by using make-series and specifying the end time in range that includes the timeframe to forecast.

  • Either seasonality and/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 4 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), it automatically detects the seasonality and trend and generates a forecast of the entire 5 weeks 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 

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