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I am using Prophet on a timeseries with exogenous features.
I want to understand the significance (p value) of each of those features in my Prophet model, so that I can perform backward elimination of features, iterate and arrive at a robust model.
I understand that I cannot just do a t-test on the scaled coefficients (betas),to test if the coef is significantly different than 0. The reason is the normalisations taking place under the hood as explained here:https://github.com/facebook/prophet/issues/1264
I also found this on it, but unsure how to actualy get some significance/do the statistics from it: https://stackoverflow.com/questions/62654951/how-to-get-feature-importance-of-fb-prophet
any help would be much appreciated!
