[hotstickyballs]

It strikes me as a bit weird that these time series packages tend to discard the time component of the data and just.. not do anything with it.

Prophet, for example uses dates to create Fourier terms and indicators to holidays for example and that just seems like a more sane approach.

[tnecniv]

It depends on your time series, really. If the samples are evenly spaced, e.g., your sensor gives you a reading every millisecond, your measured sequences aren’t partially overlapping, and you don’t have structured discrete events, then time isn’t very useful. You can always rescale time so that it is just the same as the index.

For your calendar example, date information is very useful because patterns tend to exhibit a cyclic nature across years and there’s discrete special events (holidays). With enough data, you probably don’t need to include the date, but it’s informative for smaller data sets.

[frankfrank13]

Yeah most of the time series data I've had to work with I end up spending a huge amount of time interpolating (so all time slices have some data even if it isn't real) or aggregating to some common denominator (e.g taking sporadic sales and summing up to daily sales). I get why most packages expect nicely spaced or evenly dense data, but boy I would love if I had more options there.

[poomer]

Most time series models assume you've already deseasonalized your data in advance. Typically, seasonality is obvious to the human doing the modeling (e.g. sales being up near Christmas), so it's usually preferable for the human to deseasonalize the data in advance using a separate model that bakes in some of their human knowledge of how the world works. Forcing the model to learn seasonal trends fully on its own adds another layer of estimation error.

Prophet is popular because it works off the shelf with non-deseasonalized data and mixed frequency data, which makes it great for quick forecasting exercises. But IMO it is never the ideal model if you have a lot of time and expertise to work with.

[frakt0x90]

Prophet has worked so well for us, especially since we have a TON of custom events and holidays to consider. None of the other approaches have really come close.