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time-seriesfacebook-prophet

How to extend initial uniform distribution of change points to the last 20% of data?


I'm using Prophet to detect significant change points in daily sales data.

I'd like to know by the end of each week or 2 weeks if there was a new candidate for a change point, that appeared in that recent time frame. But Prophet only puts candidate change points in the first 80%, so I have to limit data to 5-10 weeks long, which kills seasonality information.

What is the rational for using only first 80% of data? Is it reasonable to try increase the number for the case described? What would be a way to do so?

Thanks in advance!


Solution

  • Will be available as a parameter in v0.3

    Got a response from the Prophet team: https://github.com/facebook/prophet/issues/515