Deep Dive | Machine Learning | Time Series Forecasting

The Math of Prophet

Breaking down the Equation behind Facebook’s open-source Time Series Forecasting procedure

In this Story we examine the ins and outs of the mathematics utilized by Prophet, a time series forecasting tool by Facebook.

Outline

1) Quick review: What is Prophet?

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.