Google's Causal Impact Algorithm Implemented on Top of TensorFlow Probability.
Google's Causal Impact Algorithm Implemented on Top of TensorFlow Probability. The algorithm basically fits a Bayesian structural model on past observed data to make predictions on what future data would look like. Past data comprises everything that happened before an intervention (which usually is the changing of a variable as being present or not, such as a marketing campaign that starts to run at a given point). It then compares the counter-factual (predicted) series against what was really observed in order to extract statistical conclusions.
