Time series forecasting with Greykite
Rahul Agarwal
Senior Staff Engineer | Business and Technical Leadership | Distributed Systems
I have been learning about time series and recently looked into Facebook Prophet and SARIMA. There is now a new Greykite library from LinkedIn that seeks to create an abstraction over multiple models including Prophet and introduces their own model called Silverkite.
I will not pretend to explain the model (because I don’t fully understand it) but LinkedIn provides the details and my interest is its application. Using the same example as previously for request rate on a hypothetical service and using Silverkite instead. The forecast fits surprisingly well!
Also using previous Prophet and SARIMA and comparing with Silverkite, this new model fits much better! This is ofcourse exampleland with very limited training data so please keep that in mind and see the earlier post.
All the code and sample data for above is in Github at this location.
If these topics interest you then reach out to me, and I will appreciate any feedback. If you would like to work on such problems you will generally find open roles as well! Please refer to LinkedIn.