facebook/prophet

Cross validation with other forecasts as regressors

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#442 opened on Feb 13, 2018

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 (4 comments) (0 reactions) (0 assignees)Python (17,686 stars) (4,451 forks)batch import
enhancementhelp wanted

Description

If we have other time series as regressors that are being forecasted using Prophet, then cross validation should also forecast those regressors. Right now it would use the true future values which would typically underestimate forecast error.

Contributor guide

Tech stack
python
Domain
datamachine learning
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
4
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
3-5 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
Prophet basicsTime series forecastingCross validation concepts
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
35
Research direction
Investigate the cross validation implementation in Prophet, likely in the `prophet/cross validation.py` or similar. Understand how regressors are currently handled in the forecast function. The goal is to modify the cross validation loop so that when regressors are also time series that need forecasting, they are predicted using Prophet (or another model) rather than using true values. Examine related issues or design discussions in the comments (e.g., #442) to inform the approach.