Output the scores of change points
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- Python
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Description
Hi,
I believe an option to see the scores of the change points could be beneficial.
Now it's possible to see the location of **all** change points as `Prophet().changepoints` and then only part of them can be displayed through `add_changepoints_to_plot()`.
As to me it's not very convenient:
- it's not straightforward to understand why the number of change points on a plot is lower than the number of items in the `changepoints` property of a Prophet instance
- not possible to select directly top-N change points
- as a partial case of above: not possible to get the most significant change point
I'd suggest to add a property with the scores of each change point (in other words make this calculation
`np.abs(np.nanmean(m.params['delta'], axis=0))`
directly available
Let me know if it sounds reasonable and it's worth to make a pull request.
Thanks,
Andrei
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