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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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Are facebook prophet prediction intervals wider when there is autocorrelation in the residuals or no? #2468

Closed evros-chris closed 1 year ago

evros-chris commented 1 year ago

I am trying to fit a facebook prophet model to time series data that has multiple seasonalities: daily, weekly, and yearly.

When I fit the model, there is substantial remaining autocorrelation in the residuals, as shown on the ACF plot of the residuals. This means there is information left in the residuals which should be used in computing forecasts.

Are the prediction intervals that I get going to be wider to account for this uncertainty of the information not captured? Or are the prediction intervals going to be narrower than they should be?

Thank you!

evros-chris commented 1 year ago

I am closing this issue. Answer: When there is substantial remaining autocorrelation in the residuals then the prediction intervals are wider, and would be narrower if the autocorrelations were taken into account. Link: https://community.rstudio.com/t/are-facebook-prophet-prediction-intervals-wider-when-there-is-autocorrelation-in-the-residuals-or-no/170795