Prophet Algorithm - Amazon Forecast

Prophet Algorithm

Prophet is a popular local Bayesian structural time series model. The Amazon Forecast Prophet algorithm uses the Prophet class of the Python implementation of Prophet.

How Prophet Works

Prophet is especially useful for datasets that:

  • Contain an extended time period (months or years) of detailed historical observations (hourly, daily, or weekly)

  • Have multiple strong seasonalities

  • Include previously known important, but irregular, events

  • Have missing data points or large outliers

  • Have non-linear growth trends that are approaching a limit

Prophet is an additive regression model with a piecewise linear or logistic growth curve trend. It includes a yearly seasonal component modeled using Fourier series and a weekly seasonal component modeled using dummy variables.

For more information, see Prophet: forecasting at scale.

Prophet Hyperparameters and Related Time Series

Amazon Forecast uses the default Prophet hyperparameters. Prophet also supports related time-series as features, provided to Amazon Forecast in the related time-series CSV file.