facebook/prophet

Cross validation with other forecasts as regressors

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#442 创建于 2018年2月13日

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 (4 评论) (0 反应) (0 负责人)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.

贡献者指南

技术栈
python
领域
datamachine learning
议题类型
feature
难度面向新贡献者的预计实现难度，1 表示很小改动，5 表示专家级工作。
4
预计时间有经验贡献者完成调查、实现、测试并准备 pull request 的粗略时间范围。
3-5 days
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stale
清晰度议题是否清楚说明期望改动、验收标准和下一步。
clear
前置要求
Prophet basicsTime series forecastingCross validation concepts
新手友好度1-100 的估计分数，表示该议题对首次贡献者的友好程度。
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