facebook / facebook/prophet

RMSE in Bayesian Context

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enhancement
Lingua principale
Python
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Descrizione

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.

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