- Tags:: 📜Papers, Forecasting
- Authors: Reza Hosseini, Kaixu Yang, Albert Chen, Sayan Patra
- Link:: http://arxiv.org/abs/2105.01098
- Zotero Link:: hosseiniFlexibleForecastingModel2021
- Source date:: 2021-05-03
- Finished date:: 2021-07-01
Differences with Prophet
- Ability to forecast quantiles, not only the mean.
the user might intend to capture the average values well (e.g. in Revenue forecasting) or the peak values well (e.g. in capacity planning).
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Volatility model, different from the MAP, quicker than the MCMC that Prophet uses.
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Silverkite allows more types of growth, but not changing capacity over time.
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Seasonality: not sure if they are differently specified (E.g., Time Of Month?)
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Seasonality changepoints.
Other interesting info
- From the docs. When should we allow the checkpoints to occur?
The no_changepoint_distance_from_end is set to 365 days, which means we do not allow any changepoints at the last 365 days of training data. This avoids fitting the final trend with too little data. For long-term forecast, this is typically the same as the forecast horizon, while for short-term forecast, this could be a multiple of the forecast horizon.