facebook / facebook/prophet

RMSE in Bayesian Context

Abierto
#281 1 comentario 0 reacciones 0 asignados Ver en GitHub
enhancement
Lenguaje dominante
Python
Estrellas
20.4k
Forks
4.6k
Merge medio
19 h 52 min
PR fusionados (30 d)
1

Descripción

When accessing model fit, it seems like a lot of people have been using existing packages in R or Python.

However, with a package, we are simply getting the traditional RMSE as:
![image](https://user-images.githubusercontent.com/13903912/29680291-f991cec6-88b8-11e7-9589-e020be6f01d2.png)

In the Bayesian context where we have posterior samples from each prediction of interest, we can express this equation as:
![image](https://user-images.githubusercontent.com/13903912/29680353-265d0cd6-88b9-11e7-97c2-6822a983def1.png)

I know there's now a `m.predictive_samples(future)` function built into v0.2 so this wouldn't be hard to add. What are people thoughts? It seems like we are losing a lot of the uncertainty we gain from fitting a Bayesian model by simply using the posterior mean for model fit evaluation.

Guía de contribución

Abrir la guía de contribución

Evaluación

Este issue todavía no se ha evaluado.

Recibe los nuevos issues en tu correo

Un resumen breve de issues de GitHub para principiantes.