facebook / facebook/prophet

Add shock to the model / parametric extra regressors

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#565 コメント 7 件 リアクション 1 件 担当者 0 名 GitHub で見る
enhancement
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Python
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19時間 52分
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説明

Hey,
This is more of a feature suggestion than actually an issue.
I was wondering if we could simulate shock to the system. Right now the [doc](https://facebook.github.io/prophet/docs/outliers.html) suggest to just remove them.
However sometimes you might not want to do that. An example could be trying to forecast Youtube traffic where you can have multiple shock coming up in small period of time (which would correspond on new video being published for example). A way to solve it would be to add the ability to have "shocks" to your model and for example fit them with exponential decay (which could describe correctly a new post being viral, a new video posted on youtube and so on). i.e. something like `median * delta * exp(-( i - t0[j] ) / tau)` where t0 is a vector that represent all the "initial" shock time.
Removing the trend, seasonality and holiday effect it would look like this:
![image](https://user-images.githubusercontent.com/4520383/41118913-566288a6-6a5f-11e8-839b-a049d2247bb7.png)
It might be a bit out of the scope of prophet but I thought I'd ask anyways.

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