Comments (5)
Looks like a bug. Both auto and non auto changepoints predictions' CI should diverge after the observed data. Leaving this open as a reference until I can confirm/fix this
from pm-prophet.
I have seen that this forecast divergence is dependent on whether one uses the auto_changepoint function or not. Why is this the case? As I assume the forecast is based on some kind of randomwalk, it should be irrelevant how many changepoints have been?
from pm-prophet.
I have tested the evolution of the CI with the parameters you used but with a longer prediction period. I does indeed diverge.
from pm-prophet.
I am still not sold that the CIs are properly accounted for/computed in this model @t8ch - I would expect them to open up much more at first sight. It's a complex model so this will take a bit to analyze
from pm-prophet.
I am still not sold that the CIs are properly accounted for/computed in this model @t8ch - I would expect them to open up much more at first sight. It's a complex model so this will take a bit to analyze
True, we should set up a proper test.
from pm-prophet.
Related Issues (20)
- Would you like to consider adding this to pymc-learn and pymc3-models? HOT 1
- UnboundLocalError: local variable 'w' referenced before assignment HOT 2
- AttributeError: 'str' object has no attribute 'value' HOT 2
- AttributeError when fitting example model HOT 1
- Is GPU included? HOT 1
- auto_changepoint issue HOT 1
- prediction dependent on the order of the added sesonality HOT 3
- time series now/forecasting with distributed data HOT 1
- Example not working on Pandas 1.0 HOT 6
- Categorical Variables HOT 7
- do you have example to use your code like prophet with multiple regressores ? HOT 1
- fourier_series coefficients HOT 12
- Multiple extra data
- PyPI repository is not updated
- Heteroskedasticity
- [Feature Request] Simplify API for regressors
- [Feature Request] Ability to customise priors for each regressor
- AttributeError: 'DataFrame' object has no attribute 'ix' HOT 1
- PyMC3 has been renamed PyMC
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from pm-prophet.