facebook/prophet

Cross validation with other forecasts as regressors

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#442 建立於 2018年2月13日

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 (4 留言) (0 反應) (0 負責人)Python (17,686 star) (4,451 fork)batch import
enhancementhelp wanted

描述

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.

貢獻者指南

技術棧
python
領域
datamachine learning
議題類型
feature
難度面向新貢獻者的預計實作難度，1 表示很小改動，5 表示專家級工作。
4
預計時間有經驗貢獻者完成調查、實作、測試並準備 pull request 的粗略時間範圍。
3-5 days
活動狀態議題目前的可參與程度：新鮮、活躍、陳舊、阻塞或等待維護者輸入。
stale
清晰度議題是否清楚說明預期改動、驗收標準和下一步。
clear
前置要求
Prophet basicsTime series forecastingCross validation concepts
新手友善度1-100 的估計分數，表示該議題對首次貢獻者的友善程度。
35
研究方向
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.
Cross validation with other forecasts as regressors · facebook/prophet#442 | Good First Issue