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).
- 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
A dynamic array with the forecasted series
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.
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