Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
microprediction.com
Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
1–10 of 82 posts
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#2Naughty boy.
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#3Prophet is not my favorite time series forecasting package. I agree with the author’s findings.
Microprediction.com (the site that wrote this article) is a great place to win monthly cash prizes for actually providing forecast accuracy, the twist is you have to provide your forecast as a sample of 225 points from a forecast distribution rather than just providing a point forecast. This makes participation “interesting”.
Also to win you have to be more accurate than everything and everyone else that is providing predictions.
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#4Their findings are very much in line with my experience with fbprophet, it is usually the least effective lib to predict a time series in my tests.
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#5Their findings are very much in line with my experience with fbprophet, it is usually the least effective lib to predict a time series in my tests.
What would you suggest is the most effective time series analysis library?
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#6The point of Prophet is to make time series accessible to people who aren't experts in time series. Yes, it has some well known failure modes, but using Prophet always beats a static LY "forecast." This article is like complaining a Nissan Leaf can't outrace a Tesla.
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#7Their findings are very much in line with my experience with fbprophet, it is usually the least effective lib to predict a time series in my tests.
What would you suggest is the most effective time series analysis library?
SoTA in 2021 is the bespoke transformer model you implement yourself based on the idiosyncrasies in your data. Unless a lot of money is on the line, that is overkill for most situations though.
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#8The point of Prophet is to make time series accessible to people who aren't experts in time series. Yes, it has some well known failure modes, but using Prophet always beats a static LY "forecast." This article is like complaining a Nissan Leaf can't outrace a Tesla.
Does it though? The article explicitly shows cases where simple last-value performs better.
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#9The point of Prophet is to make time series accessible to people who aren't experts in time series. Yes, it has some well known failure modes, but using Prophet always beats a static LY "forecast." This article is like complaining a Nissan Leaf can't outrace a Tesla.
Does it though? The article explicitly shows cases where simple last-value performs better.
Yes, it does. I'm not sure what the author is trying to prove, but he's feeding a bunch of non-seasonal data into a highly seasonal modeling technique, and then hurling insults when it doesn't work because that's not what it was originally designed for. I'm sorry, but it just seems childish.
Re: Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
#10Excellent write up, great to see some attention paid towards libraries built on top of STAN, and answering questions of uncertainty via Bayesian stats.