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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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Additive vs Multiplicative mode to choose #2219

Open algomaschine opened 2 years ago

algomaschine commented 2 years ago

Gents, I was reading a few articles in the internet on how to choose the best seasonality mode, but the answer is still not too clear to me.

For example in this article the author is testing an error via a few metrics with additive & multiplicative and then selects multiplicative. https://exploratory.io/note/kanaugust/Time-Series-Forecasting-with-Prophet-Additive-vs-Multiplicative-aGB3gVk2gO image But the difference is very small really, does it make any sense or tell us anything about the persistence of this setup in the future? I'm not sure.

Maybe anyone could enlighten me on the best test methodology to select the right seasonality mode when I have around 40k various data series, most of them financial? Thanks!

ghost commented 2 years ago

The question is should the seasonality factors be added or multiplied to the trend. If it grows with trend and the rate increases, use multiplicative. Typically, I have seen most seasonalities be additive in my work. The documentation has good details and examples on this.