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MIT

Prophet: Automatic Forecasting Procedure

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Prophet is a procedure for forecasting time series data based on an additive model where non-linear trends are fit with yearly, weekly, and daily seasonality, plus holiday effects. It works best with time series that have strong seasonal effects and several seasons of historical data. Prophet is robust to missing data and shifts in the trend, and typically handles outliers well.

Prophet is open source software released by Facebook's Core Data Science team. It is available for download on CRAN and PyPI.

Important links

Installation in R

Prophet is a CRAN package so you can use install.packages. For OSX, be sure to specify a source install:

# R
> install.packages('prophet', type="source")

After installation, you can get started!

Windows

On Windows, R requires a compiler so you'll need to follow the instructions provided by rstan. The key step is installing Rtools before attempting to install the package.

If you have custom Stan compiler settings, install from source rather than the CRAN binary.

Installation in Python

Prophet is on PyPI, so you can use pip to install it:

# bash
$ pip install fbprophet

The major dependency that Prophet has is pystan. PyStan has its own installation instructions. Install pystan with pip before using pip to install fbprophet.

After installation, you can get started!

If you upgrade the version of PyStan installed on your system, you may need to reinstall fbprophet (see here).

Anaconda

Use conda install gcc to set up gcc. The easiest way to install Prophet is through conda-forge: conda install -c conda-forge fbprophet.

Windows

On Windows, PyStan requires a compiler so you'll need to follow the instructions. The easiest way to install Prophet in Windows is in Anaconda.

Linux

Make sure compilers (gcc, g++, build-essential) and Python development tools (python-dev, python3-dev) are installed. In Red Hat systems, install the packages gcc64 and gcc64-c++. If you are using a VM, be aware that you will need at least 4GB of memory to install fbprophet, and at least 2GB of memory to use fbprophet.

Changelog

Version 0.5 (2019.05.14)

  • Conditional seasonalities
  • Improved cross validation estimates
  • Plotly plot in Python
  • Bugfixes

Version 0.4 (2018.12.18)

  • Added holidays functionality
  • Bugfixes

Version 0.3 (2018.06.01)

  • Multiplicative seasonality
  • Cross validation error metrics and visualizations
  • Parameter to set range of potential changepoints
  • Unified Stan model for both trend types
  • Improved future trend uncertainty for sub-daily data
  • Bugfixes

Version 0.2.1 (2017.11.08)

  • Bugfixes

Version 0.2 (2017.09.02)

  • Forecasting with sub-daily data
  • Daily seasonality, and custom seasonalities
  • Extra regressors
  • Access to posterior predictive samples
  • Cross-validation function
  • Saturating minimums
  • Bugfixes

Version 0.1.1 (2017.04.17)

  • Bugfixes
  • New options for detecting yearly and weekly seasonality (now the default)

Version 0.1 (2017.02.23)

  • Initial release

License

Prophet is licensed under the MIT license.

MIT License Copyright (c) Facebook, Inc. and its affiliates. Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

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Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth. 展开 收起
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