Going NUTS with ADVI: Exploring various Bayesian Inference techniques with Facebook Prophet
结合 NUTS 与 ADVI:探索 Prophet 的贝叶斯推断方法
Since its introduction, Facebook Prophet has attracted positive attention from both classical statisticians and the Bayesian statistics community. The model provides two built-in inference methods: maximum a posteriori estimation using the L-BFGS-B algorithm, and Markov Chain Monte Carlo (MCMC) sampling via the No-U-Turn Sampler (NUTS). While exploring various time-series forecasting problems using Bayesian inference with Prophet, we encountered limitations stemming from the…