Calculate the delta

[mrgil123]

Good Afternoon Firstly I want to say thank you for creating robust forecasting machine Recently I studied about Prophet I confuse how Prophet calculate the delta (change magnitude) in the past data I have try to read the documentation and source code but I still can't understand

The documentation of Prophet(page Trend Changepoint) says "It then puts a sparse prior on the magnitudes of the rate changes (equivalent to L1 regularization)" Can you show me where do this process happen in the source code? I really need your help

[tcuongd]

Hey, here's a breakdown of how the linear growth trend is implemented:

• The equation is defined here: https://github.com/facebook/prophet/blob/b75844e07c3b09bf3bc383c9d43241c554dd251b/python/stan/unix/prophet.stan#L66-L75 where:

  real k;                   // Base trend growth rate
  real m;                   // Trend offset
  vector[S] delta;          // Trend rate adjustments
  matrix A;  // Matrix of 0s and 1s representing where the changepoints occur

• Then we use this stan program to estimate these parameters:

https://github.com/facebook/prophet/blob/b75844e07c3b09bf3bc383c9d43241c554dd251b/python/stan/unix/prophet.stan#L108-L114

https://github.com/facebook/prophet/blob/b75844e07c3b09bf3bc383c9d43241c554dd251b/python/stan/unix/prophet.stan#L119

https://github.com/facebook/prophet/blob/b75844e07c3b09bf3bc383c9d43241c554dd251b/python/stan/unix/prophet.stan#L127-L142

[mrgil123]

Thank you so much for the nice answer! Can I ask again,please.. Is prophet get the k,m,delta from estimate the posterior distribution?