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 (4,451 forks)batch import
enhancementhelp wanted

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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

Research direction
Investigate the cross validation code path and modify it to use forecasted values of regressors instead of true values.
Tech stack
python
Domain
data
Issue type
Bug
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
1-3 hours
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
Active
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
Clear
Prerequisites
ProphetTime series forecasting
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
30