Is Facebook’s “Prophet” the Time-Series Messiah, or Just a Very Naughty Boy?

Microprediction
Geek Culture
Published in
27 min readFeb 13, 2021

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Facebook’s Prophet package aims to provide a simple, automated approach to the prediction of a large number of different time series. The package employs an easily interpreted, three-component additive model whose Bayesian posterior is sampled using STAN. In contrast to some other approaches, the user of Prophet might hope for good performance without tweaking a lot of parameters. Instead, hyper-parameters control how likely those parameters are a priori, and the Bayesian sampling tries to sort things out when data arrives.

Judged by popularity, this is surely a good idea. Facebook’s prophet package has been downloaded 13,698,928 times according to pepy. It tops the charts, or at least the one I compiled here where hundreds of Python time series packages were ranked by monthly downloads. Download numbers are easily gamed and deceptive but nonetheless, the Prophet package is surely the most popular standalone Python library for automated time series analysis.

Prophet’s Claims, and Lukewarm Reviews

The funny thing is though, that if you poke around a little you’ll quickly come to the conclusion that few people who have taken the trouble to assess Prophet’s accuracy are gushing about its performance. The article by Hideaki Hayashi is somewhat…

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