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prophet

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facebook /prophet

Tool for producing high quality forecasts for time series data that has multiple seasonality with li...

11.1K Stars 3.1K Forks Last release: 4 months ago (0.6) MIT License 545 Commits 9 Releases

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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

.

install.packages('prophet')

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. From v0.6 onwards, Python 2 is no longer supported.

pip install fbprophet

The default dependency that Prophet has is

pystan

. PyStan has its own installation instructions. Install pystan with pip before using pip to install fbprophet.

You can also choose a (more experimental) alternative stan backend called

cmdstanpy

. It requires the CmdStan command line interface and you will have to specify the environment variable

STAN\_BACKEND

pointing to it, for example:

# bash $ CMDSTAN=/tmp/cmdstan-2.22.1 STAN\_BACKEND=CMDSTANPY pip install fbprophet

Note that the

CMDSTAN

variable is directly related to

cmdstanpy

module and can be omitted if your CmdStan binaries are in your

$PATH

.

It is also possible to install Prophet with two backends:

# bash $ CMDSTAN=/tmp/cmdstan-2.22.1 STAN\_BACKEND=PYSTAN,CMDSTANPY pip 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 0.6 (2020.03.03)

  • Fix bugs related to upstream changes in
    holidays
    and
    pandas
    packages.
  • Compile model during first use, not during install (to comply with CRAN policy)
  • cmdstanpy
    backend now available in Python
  • Python 2 no longer supported

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.

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