I use PMProphet with several features. Since I don’t know the future value of the features, I generate a lot of scenarios. Is there any way to pass all these scenarios to model so that the uncertainty of the result consists of two (uncertainty of the model coefficients and uncertainty of the features)? Or is there any way to introduce such functionality using the capabilities of pymc3 (without making a loop through the scenarios) ?
You need to build a generative model for the feature as well - depending on the property of the features, you can potentially build additional time series model to make that forecast.