luke14free / pm-prophet

GAM timeseries modeling with auto-changepoint detection. Inspired by Facebook Prophet and implemented in PyMC3
327 stars 42 forks source link

auto_changepoint issue #22

Closed BjorHart closed 4 years ago

BjorHart commented 4 years ago

Hi! I am trying to use the pm-prophet feature auto_changepoints to detect changepoints in a dataset. It gives seemingly good results, but when running the script on the same dataset twice, the inferred changepoints are located different places. How can i make the auto_changepoints more accurate? does this have to do with my sample size?

luke14free commented 4 years ago

Try increasing the burn-in, have a better sample, model specification or priors. Nothing much we can do about the random nature of the priors 🙃