facebook / facebook/prophet

Issue with multiplicative holiday effects

Open
#2,093 0 comments 0 reactions 0 assignees View on GitHub
question
Dominant language
Python
Stars
20.4k
Forks
4.6k
Avg merge
19h 52m
Merged PRs (30d)
1

Description

I struggle with holidays in combination with using the multiplicative mode.

I have daily data, for about 5 years. In my series, I have a 1 day event which massively increases the value of my y variable:
typical value y (unscaled): 0.01, value during event day: 0.25. This same event happens 2 times in the training data.

When I include this day as a custom holiday, and using the mode _additive_, the predictions take into account this event, with a fitted effect of about +0.22 on the event day. So far so good.

When I switch to _multiplicative_, the estimated (unscaled) effect is 0.04 (so simplifying, it is about an effect of ((1+0.04)*trend), so this is a very small effect and the fitted y value is way too low on these event days.

Is there any known issue related to using the multiplicative mode, or I am I overlooking something?

Component plots side by side:
![image](https://user-images.githubusercontent.com/93787827/148366345-6d8b76c6-9a09-49d7-9380-f8a0a617bd99.png)

**Relevant settings:**
Seasonality_mode='multiplicative' (documentation states that this also means that holiday effects will also be modeled as multiplicative: https://facebook.github.io/prophet/docs/multiplicative_seasonality.html)
Holiday prior scale: 10
yearly_seasonality: [10, 15] (tuned)
weekly_seasonality: [3, 6] (tuned)
seasonality_prior_scale: [0.01, 10] (tuned)

Contributor guide

Open the contributing guide

Assessment

This issue has not been assessed yet.

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.