Description
Forecasting is critical for nearly all businesses when planning for revenue goals, inventory management, headcount, and other economic considerations essential for managing a successful business…
Summary
- A Case Study Comparing Bayesian and Frequentist Approaches to Multivariate Times Series Data Forecasting is critical for nearly all businesses when planning for revenue goals, inventory management, headcount, and other economic considerations essential for managing a successful business.
- it tells us nothing about how well the parameters perform on unseen data (not to mention the parameters are fixed).
- graph comparing cumulative error between univariate and multivariate Bayesian Time Series models Additionally we can examine the MAPE (mean absolute percentage error) for each model, and determine which model is more accurate in the one-step-ahead forecasts.
- For the purposes of this example, we estimated the 12-month forecast for each covariate using a univariate BTS model (Pybats using just a single variable), and used those projections as inputs when predicting the target series — against our better judgement.