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You only need to do MCMC if you want simulated confidence intervals, it doesn't do anything for model estimation.
by Tarq0n 8y ago
You only need to do MCMC if you want simulated confidence intervals, it doesn't do anything for model estimation.
- wenc 8y agoYou’re right. It uses Stan to do MAP for model estimation and HMC for (optional) computation of confidence intervals. [1] Thanks for the correction. I need to look at Prophet again. Maybe it will work for fast model retraining. I had trouble the last time I tried it. [1] https://research.fb.com/prophet-forecasting-at-scale/ https://research.fb.com/prophet-forecasting-at-scale/