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facebook / prophet

Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.
https://facebook.github.io/prophet
MIT License
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Model selection using information criteria #2121

Open Yasslight90 opened 2 years ago

Yasslight90 commented 2 years ago

Hi there,

Is it planned to adapt and evaluate information criteria such WAIC or DIC for Prophet models? It would be awesome for model selection when varying some parameters such as the seasonality mode.

Let me know what do you think!

Thank you!

tcuongd commented 2 years ago

Interesting idea, I'm not familiar with those concepts for time series models. I found this paper: http://www.stat.columbia.edu/~gelman/research/published/waic_understand3.pdf -- is there another resource you think would be good to read to scope out how / what we can implement in the package?