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https://linkedin.github.io/greykite/

A flexible, intuitive and fast forecasting library
https://linkedin.github.io/greykite/

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A flexible, intuitive and fast forecasting library

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README 

        
Greykite: A flexible, intuitive and fast forecasting and anomaly detection library



.. raw:: html



   


   

   



Why Greykite?

-------------



The Greykite library provides flexible, intuitive and fast forecasts through its flagship algorithm, Silverkite.



Silverkite algorithm works well on most time series, and is especially adept for those with changepoints in trend or seasonality,

event/holiday effects, and temporal dependencies.

Its forecasts are interpretable and therefore useful for trusted decision-making and insights.



The Greykite library provides a framework that makes it easy to develop a good forecast model,

with exploratory data analysis, outlier/anomaly preprocessing, feature extraction and engineering, grid search,

evaluation, benchmarking, and plotting.

Other open source algorithms can be supported through Greykite’s interface to take advantage of this framework,

as listed below.



Greykite AD (Anomaly Detection) is an extension of the Greykite Forecasting library. It provides users with an interpretable, 

fast, robust and easy to use interface to monitor their metrics with minimal effort.



Greykite AD improves upon the out-of-box confidence intervals generated by Silverkite, by automatically tuning the confidence intervals 

and other filters (e.g. based on ``APE``) using expected alert rate information and/ or anomaly labels, if available. 

It allows the users to define robust objective function, constraints and parameter space to optimize the confidence intervals. 

For example user can target a minimal recall level of 80% while maximizing precision. Additionally, the users can specify a 

minimum error level to filter out anomalies that are not business relevant. The motivation to include criteria other than 

statistical significance is to bake in material/ business impact into the detection.



For a demo, please see our `quickstart `_.



Distinguishing Features

-----------------------



* Flexible design

    * Provides time series regressors to capture trend, seasonality, holidays,

      changepoints, and autoregression, and lets you add your own.

    * Fits the forecast using a machine learning model of your choice.

* Intuitive interface

    * Provides powerful plotting tools to explore seasonality, interactions, changepoints, etc.

    * Provides model templates (default parameters) that work well based on

      data characteristics and forecast requirements (e.g. daily long-term forecast).

    * Produces interpretable output, with model summary to examine individual regressors,

      and component plots to visually inspect the combined effect of related regressors.

* Fast training and scoring

    * Facilitates interactive prototyping, grid search, and benchmarking.

      Grid search is useful for model selection and semi-automatic forecasting of multiple metrics.

* Extensible framework

    * Exposes multiple forecast algorithms in the same interface,

      making it easy to try algorithms from different libraries and compare results.

    * The same pipeline provides preprocessing, cross-validation,

      backtest, forecast, and evaluation with any algorithm.



Algorithms currently supported within Greykite’s modeling framework:



* Silverkite (Greykite’s flagship forecasting algorithm)

* Greykite Anomaly Detection (Greykite's flagship anomaly detection algorithm)

* `Facebook Prophet `_

* `Auto Arima `_



Notable Components

------------------



Greykite offers components that could be used within other forecasting

libraries or even outside the forecasting context.



* ModelSummary() - R-like summaries of `scikit-learn` and `statsmodels` regression models.

* ChangepointDetector() - changepoint detection based on adaptive lasso, with visualization.

* SimpleSilverkiteForecast() - Silverkite algorithm with `forecast_simple` and `predict` methods.

* SilverkiteForecast() - low-level interface to Silverkite algorithm with `forecast` and `predict` methods.

* ReconcileAdditiveForecasts() - adjust a set of forecasts to satisfy inter-forecast additivity constraints.

* GreykiteDetector() - simple interface for optimizing anomaly detection performance based on Greykite forecasts.



Usage Examples

--------------



You can obtain forecasts with only a few lines of code:



.. code-block:: python



    from greykite.common.data_loader import DataLoader

    from greykite.framework.templates.autogen.forecast_config import ForecastConfig

    from greykite.framework.templates.autogen.forecast_config import MetadataParam

    from greykite.framework.templates.forecaster import Forecaster

    from greykite.framework.templates.model_templates import ModelTemplateEnum



    # Defines inputs

    df = DataLoader().load_bikesharing().tail(24*90)  # Input time series (pandas.DataFrame)

    config = ForecastConfig(

         metadata_param=MetadataParam(time_col="ts", value_col="count"),  # Column names in `df`

         model_template=ModelTemplateEnum.AUTO.name,  # AUTO model configuration

         forecast_horizon=24,   # Forecasts 24 steps ahead

         coverage=0.95,         # 95% prediction intervals

     )



    # Creates forecasts

    forecaster = Forecaster()

    result = forecaster.run_forecast_config(df=df, config=config)



    # Accesses results

    result.forecast     # Forecast with metrics, diagnostics

    result.backtest     # Backtest with metrics, diagnostics

    result.grid_search  # Time series CV result

    result.model        # Trained model

    result.timeseries   # Processed time series with plotting functions



For a demo, please see our `quickstart `_.



Setup and Installation

----------------------



Greykite is available on Pypi and can be installed with pip:



.. code-block::



    pip install greykite



For more installation tips, see `installation `_.



Documentation

-------------



Please find our full documentation `here `_.



Learn More

----------



* `Website `_

* `Paper `_ (KDD '22 Best Paper Runner-up, Applied Data Science Track)

* `Blog post `_



Citation

--------



Please cite Greykite in your publications if it helps your research:



.. code-block::



    @misc{reza2021greykite-github,

      author = {Reza Hosseini and

                Albert Chen and

                Kaixu Yang and

                Sayan Patra and

                Yi Su and

                Rachit Arora},

      title  = {Greykite: a flexible, intuitive and fast forecasting library},

      url    = {https://github.com/linkedin/greykite},

      year   = {2021}

    }



.. code-block::



    @inproceedings{reza2022greykite-kdd,

      author = {Hosseini, Reza and Chen, Albert and Yang, Kaixu and Patra, Sayan and Su, Yi and Al Orjany, Saad Eddin and Tang, Sishi and Ahammad, Parvez},

      title = {Greykite: Deploying Flexible Forecasting at Scale at LinkedIn},

      year = {2022},

      isbn = {9781450393850},

      publisher = {Association for Computing Machinery},

      address = {New York, NY, USA},

      url = {https://doi.org/10.1145/3534678.3539165},

      doi = {10.1145/3534678.3539165},

      booktitle = {Proceedings of the 28th ACM SIGKDD Conference on Knowledge Discovery and Data Mining},

      pages = {3007–3017},

      numpages = {11},

      keywords = {forecasting, scalability, interpretable machine learning, time series},

      location = {Washington DC, USA},

      series = {KDD '22}

    }



License

-------



Copyright (c) LinkedIn Corporation. All rights reserved. Licensed under the

`BSD 2-Clause `_ License.