The ML.EXPLAIN_FORECAST function

This document describes the ML.EXPLAIN_FORECAST function, which lets you generate forecasts that are based on a trained time series model. It only works on ARIMA_PLUS models with the training option decompose_time_series enabled or on ARIMA_PLUS_XREG models. The ML.EXPLAIN_FORECAST function encompasses the ML.FORECAST function because its output is a superset of the results of ML.FORECAST.

Syntax

 # `ARIMA_PLUS` models: ML.EXPLAIN_FORECAST( MODEL `PROJECT_ID.DATASET.MODEL`, STRUCT( [HORIZON AS horizon] [, CONFIDENCE_LEVEL AS confidence_level])) # `ARIMA_PLUS_XREG` model: ML.EXPLAIN_FORECAST( MODEL `PROJECT_ID.DATASET.MODEL`, STRUCT( [HORIZON AS horizon] [, CONFIDENCE_LEVEL AS confidence_level]), { TABLE `PROJECT_ID.DATASET.TABLE` | (QUERY_STATEMENT) })

Arguments

ML.EXPLAIN_FORECAST takes the following arguments:

  • PROJECT_ID: the project that contains the resource.
  • DATASET: the dataset that contains the resource.
  • MODEL: the name of the model.

  • TABLE: the name of the input table that contains the data to be evaluated.

    If TABLE is specified, the input column names in the table must match the column names in the model, and their types should be compatible according to BigQuery implicit coercion rules.

    If there are unused columns from the table, they are ignored.

    The TABLE argument is required for the ARIMA_PLUS_XREG model.

  • QUERY_STATEMENT: the GoogleSQL query that is used to generate the evaluation data. For the supported SQL syntax for the QUERY_STATEMENT clause in GoogleSQL, see Query syntax.

    If QUERY_STATEMENT is specified, the input column names from the query must match the column names in the model, and their types should be compatible according to BigQuery implicit coercion rules.

  • HORIZON: an INT64 value that specifies the number of time points to forecast. The maximum value is the horizon value specified in the CREATE MODEL statement for the time series model, or 1000 if unspecified. The default value is 3. When forecasting multiple time series at the same time, this parameter applies to each time series.

  • CONFIDENCE_LEVEL: a FLOAT64 value that specifies the percentage of the future values that fall in the prediction interval. The valid input range is [0, 1). The default value is 0.95.

Output

The ML.EXPLAIN_FORECAST function returns the following columns:

  • time_series_id_col or time_series_id_cols: a value that contains the identifiers of a time series. time_series_id_col can be an INT64 or STRING value. time_series_id_cols can be an ARRAY<INT64> or ARRAY<STRING> value. Only present when forecasting multiple time series at once. The column names and types are inherited from the TIME_SERIES_ID_COL option as specified in the CREATE MODEL statement.

  • time_series_timestamp: a TIMESTAMP value that contains the timestamp of the time series. This column has a type of TIMESTAMP regardless of the type of the input time_series_timestamp_col. For each time series, the output rows are sorted in chronological order by the time_series_timestamp value.

  • time_series_type: a STRING value that contains either history or forecast. The rows that have a value of history in this column are used in training, either directly from the training table, or from interpolation using the training data.

  • time_series_data: a FLOAT64 value that contains the data of the time series. For rows that have a value of history in the time_series_type column, time_series_data is either the training data or the interpolated value using the training data. For rows that have a value of forecast in the time_series_type column, time_series_data is the forecast value.

  • time_series_adjusted_data: a FLOAT64 value that contains the adjusted data of the time series. For rows that have a value of history in the time_series_type column, this is the value after cleaning spikes and dips, adjusting the step changes, and removing the residuals. It is the aggregation of all the valid components: holiday effect, seasonal components, and trend. For rows that have a value of forecast in the time_series_type column, this is the forecast value, which is the same as the value of time_series_data.

  • standard_error: a FLOAT64 value that contains the standard error of the residuals during the ARIMA fitting. The values are the same for all rows that have a value of history in the time_series_type column. For rows that have a value of forecast in the time_series_type column, this value increases with time, as the forecast values become less reliable.

  • confidence_level: a FLOAT64 value that contains the user-specified confidence level or, if unspecified, the default value. This value is the same for all rows that have a value of history in the time_series_type column. This value is NULL for all rows that have a value of forecast in the time_series_type column.

  • prediction_interval_lower_bound: a FLOAT64 value that contains the lower bound of the prediction result. Only rows that have a value of forecast in the time_series_type column have values other than NULL in this column.

  • prediction_interval_upper_bound: a FLOAT64 value that contains the upper bound of the prediction result. Only rows that have a value of forecast in the time_series_type column have values other than NULL in this column.

  • trend: a FLOAT64 value that contains the long-term increase or decrease in the time series data.

  • seasonal_period_yearly: a FLOAT64 value that contains the time series data value affected by the time of the year. This value is NULL if no yearly effect is found.

  • seasonal_period_quarterly: a FLOAT64 value that contains the time series data value affected by the time of the quarter. This value is NULL if no quarterly effect is found.

  • seasonal_period_monthly: a FLOAT64 value that contains the time series data value affected by the time of the month. This value is NULL if no monthly effect is found.

  • seasonal_period_weekly: a FLOAT64 value that contains the time series data value affected by the time of the week. This value is NULL if no weekly effect is found.

  • seasonal_period_daily: a FLOAT64 value that contains the time series data value affected by the time of the day. This value is NULL if no daily effect is found.

  • holiday_effect: a FLOAT64 value that contains the time series data value affected by different holidays. This is the sum of the maximum positive individual holiday effect and the minimum negative individual holiday effect. This is shown in the following formula, where \(H\) is the overall holiday effect and \(h(i)\) is the individual holiday effect:

    \[H=\max\limits_{h(i)>0} h(i) + \min\limits_{h(i)<0} h(i)\]

    This value is NULL if no holiday effect is found.

  • spikes_and_dips: a FLOAT64 value that contains the unexpectedly high or low values of the time series. For rows that have a value of history in the time_series_type column, the value is NULL if no spike or dip is found. For rows that have a value of forecast in the time_series_type column, this value is NULL.

  • step_changes: a FLOAT64 value that contains the abrupt or structural change in the distributional properties of the time series. For rows that have a value of history in the time_series_type column, this value is NULL if no step change is found. For rows that have a value of forecast in the time_series_type column, this value is NULL.

  • residual: a FLOAT64 value that contains the difference between the actual time series and the fitted time series after model training. The residual value is only meaningful for historical data. For rows that have a value of forecast in the time_series_type column, the residual value is NULL.

  • holiday_effect_holiday_name: a FLOAT64 value that contains the time series data value affected by the holiday that's identified in holiday_name. If no holiday effect is found, this value is NULL.

    There is one holiday_effect_holiday_name column for each holiday that's included in the model.

  • attribution_feature_name: a FLOAT64 value that contains the attribution of each feature to the final forecast. This only applies to ARIMAX_PLUS_XREG models. The value is calculated by multiplying the weight of the feature with the feature value. This is shown in the following formula, where \(\beta_{fn}\) is the weight of feature fn in the linear regression and \(X_{fn}\) is the numericalized feature value:

    \[attribution_{fn}=\beta_{fn} * X_{fn}\]

Mathematical explanation

The mathematical relationship of the output columns is described in the following sections.

time_series_data

The time_series_data value is decomposed into several components to get better explainability. For ARIMA_PLUS models, the component list includes the following components for better explainability:

  • trend
  • seasonal_period_yearly
  • seasonal_period_quarterly
  • seasonal_period_monthly
  • seasonal_period_weekly
  • seasonal_period_daily
  • holiday_effect
  • spikes_and_dips
  • step_changes
  • residual

For ARIMA_PLUS_XREG models, this list also includes the feature contribution attribution_feature_name. For future data, the spikes_and_dips, step_changes, and residuals values aren't applicable.

The following formulas show what components make up the time_series_data value for historical and forecast data for time series models

  • For ARIMA_PLUS models:

    • Historical data:
    time_series_data = trend + seasonal_period_yearly + seasonal_period_quarterly + seasonal_period_monthly + seasonal_period_weekly + seasonal_period_daily + holiday_effect + spikes_and_dips + step_changes + residual
    • Forecast data:
    time_series_data = trend + seasonal_period_yearly + seasonal_period_quarterly + seasonal_period_monthly + seasonal_period_weekly + seasonal_period_daily + holiday_effect

  • For ARIMA_PLUS_XREG models:

    • Historical data:
    time_series_data = trend + seasonal_period_yearly + seasonal_period_quarterly + seasonal_period_monthly + seasonal_period_weekly + seasonal_period_daily + holiday_effect + spikes_and_dips + step_changes + residual + (attribution_feature_1 + ... + attribution_feature_n)
    • Forecast data:
    time_series_data = trend + seasonal_period_yearly + seasonal_period_quarterly + seasonal_period_monthly + seasonal_period_weekly + seasonal_period_daily + holiday_effect + (attribution_feature_1 + ... + attribution_feature_n)

time_series_adjusted_data

The time_series_adjusted_data value is the value that remains after cleaning spikes and dips, adjusting the step changes, and removing the residuals. Its formula is the same for both historical and forecast data.

  • For ARIMA_PLUS models:

    time_series_adjusted_data = trend + seasonal_period_yearly + seasonal_period_quarterly + seasonal_period_monthly + seasonal_period_weekly + seasonal_period_daily + holiday_effect

  • For ARIMA_PLUS_XREG models:

    time_series_adjusted_data = trend + seasonal_period_yearly + seasonal_period_quarterly + seasonal_period_monthly + seasonal_period_weekly + seasonal_period_daily + holiday_effect + (attribution_feature_1 + ... + attribution_feature_n)

holiday_effect

The holiday_effect_holiday_name value is a subcomponent . The holiday_effect value is the sum of all the holiday_effect_holiday_name values. For example, if you specify holidays xmas and mlk, the formula is holiday_effect = holiday_effect_xmas + holiday_effect_mlk.

ARIMA_PLUS example

The following example forecasts 30 time points with a confidence level of 0.8:

SELECT  * FROM  ML.EXPLAIN_FORECAST(MODEL `mydataset.mymodel`,  STRUCT(30 AS horizon, 0.8 AS confidence_level))

ARIMA_PLUS_XREG example

The following example forecasts 30 time points with a confidence level of 0.8 with future features:

SELECT  * FROM  ML.EXPLAIN_FORECAST(MODEL `mydataset.mymodel`,  STRUCT(30 AS horizon, 0.8 AS confidence_level),  (SELECT * FROM `mydataset.mytable`))

What's next