prophet: Error metrics and visualizations for diagnostics
First off, congratulations on creating a wonderful tool for forecasting. I was wondering if there could be a functionality within prophet that calculates the accuracy on the lines of Rob J Hyndman’s forecast package. I for one would love to see this functionality.
About this issue
- Original URL
- State: closed
- Created 7 years ago
- Comments: 21 (9 by maintainers)
Added to R in https://github.com/facebookincubator/prophet/commit/3c09448018494b2f20268a3c4a7d1130f75da2e2. These new functions (
cross_validationandsimulated_historical_forecasts) return a dataframe with forecasted (yhat) and actual (y) values with forecasts made from a bunch of historical cutoff dates. This could then be used to compute whatever error metric is desired.Functions for cross-validation to estimate forecast accuracy are now added to Py version in https://github.com/facebookincubator/prophet/commit/79d0793ce4ad5bdf3a3b0b37b468302f3ee6683e. A big thanks to @teramonagi for that!
I think AIC would be worth to implement as it is not that straight forward and benhamner/Metrics do not have it.
This would be a great feature.
@ivonnics this issue is described in #796. In short, it is from a change that the
holidayspackage made last week and can be fixed by downgrading that package as described in #796.pip install fbprophet --upgradeshould do it