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Fitting Bayesian structural time series with the bsts R package

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by STEVEN L. SCOTT

Time series data are everywhere, but time series modeling is a fairly specialized area within statistics and data science. This post describes the bsts software package, which makes it easy to fit some fairly sophisticated time series models with just a few lines of R code.

Introduction Time series data appear in a surprising number of applications, ranging from business, to the physical and social sciences, to health, medicine, and engineering. Forecasting (e.g. next month's sales) is common in problems involving time series data, but explanatory models (e.g. finding drivers of sales) are also important. Time series data are having something of a moment in the tech blogs right now, with Facebook announcing their "Prophet" system for time series forecasting (Taylor and Letham 2017), and Google posting about its forecasting system in this blog (Tassone and Rohani 2017).

This post summarizes the bsts R package, a tool for fitting Bayesian structural time…

Our quest for robust time series forecasting at scale

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by ERIC TASSONE, FARZAN ROHANI

We were part of a team of data scientists in Search Infrastructure at Google that took on the task of developing robust and automatic large-scale time series forecasting for our organization. In this post, we recount how we approached the task, describing initial stakeholder needs, the business and engineering contexts in which the challenge arose, and theoretical and pragmatic choices we made to implement our solution.
Introduction Time series forecasting enjoys a rich and luminous history, and today is an essential element of most any business operation. So it should come as no surprise that Google has compiled and forecast time series for a long time. For instance, the image below from the Google Visitors Center in Mountain View, California, shows hand-drawn time series of “Results Pages” (essentially search query volume) dating back nearly to the founding of the company on 04 September 1998.


Hand-Drawn Time Series of Google “Results Pages”, November 19…