/turing-air-passengers

Implements a Propher-like model in Turing and uses it to forecast air passenger counts.

Primary LanguageJuliaMIT LicenseMIT

Prophet-like time series model in Turing

This repo contains a time series model inspired by the Prophet model. The implementation is basically a translation of a Pymc tutorial to Turing.jl.

The Model

The model is a standard linear regression model with a multiplicative seasonal component

$$f(t) = (\alpha + \beta t)(1 + s)$$

where $\alpha$ is the intercept, $\beta$ the trend over time $t$ and $s$ fourier features capturing seasonality.

Reproducing the results

Download the data and unzip the csv into data. Then cd to the repo, run julia --project to start the Julai REPL. Hit ] to enter the package manager, run instantiate to fetch the necessary dependencies and finally include("main.jl") to fit the model and produce the plots.

Model fit

model fit