jpmallette

def execute_cross_validation_and_performance_loop(cross_valid_params, metric = 'mse'):
""" Execute Cross Validation and Performance Loop
    To complement Medium Blog Post: Prophet Auto Selection with Cross-Validation 
    Link https://medium.com/@jeanphilippemallette/prophet-auto-selection-with-cross-validation-7ba2c0a3beef

    Parameters
    ----------
    cross_valid_params: List of dict
      dict value same as cross_validation function argument
      model, horizon, period, initial

jpmallette

from itertools import product

from fbprophet import Prophet

m = Prophet()

param_grid = {
              'model' : [m]
              , 'initial' : ['730 days','500 days']
              , 'period'  : ['180 days']

jpmallette

# Create params grid object

from sklearn.model_selection import ParameterGrid

param_grid = {
              'model' : [m]
              , 'initial' : ['730 days','500 days']
              , 'period'  : ['180 days']
              , 'horizon' : ['365 days']
              }