Is Facebook's “Prophet” the time-series Messiah or just a naughty boy?
As someone who spent a good part of my professional career in forecasting and time-series analysis I would like to point out that "point-forecasts" are mostly useless in many import practical applications such as FinTech, e-commerce, sports betting, etc. Point-forecast models such as Prophet fail to give you a meaningful measure of uncertainty of the predicted value. A much better approach are probabilistic forecasting models that predict the probability distribution of the random variable of interest [0]. Probability distribution is the right language to express prediction values and their uncertainty at the same time. And the decisions based on forecasts oftentimes take the uncertainty measures in consideration, e.g. portfolio risk optimization or buying decisions in e-commerce.<p>[0] <a href="https://en.wikipedia.org/wiki/Probabilistic_forecasting" rel="nofollow">https://en.wikipedia.org/wiki/Probabilistic_forecasting</a>