Uncertainty (Prediction) Interval¶

Not Confident Interval: https://stats.stackexchange.com/questions/619860/are-prophets-uncertainty-intervals-confidence-intervals-or-prediction-interva

The default uncertainty interval is 80%.

https://www.mikulskibartosz.name/understanding-uncertainty-intervals-generated-by-prophet/

m = Prophet(uncertainty_samples=1000, interval_width=0.95)

By default, Interval_width parameter is related to uncertainty in trend and observation noise only. The uncertainty interval of the calculated seasonality is not taken into account. But Prophet calculates it when we set the mcmc_samples parameter.

m = Prophet(uncertainty_samples=1000, mcmc_samples=1000, interval_width=0.95)

To see the uncertainty in seasonality we must do full Bayesian sampling by settting the mcmc.samples. The default value of 0 for mcmc.samples mans that it uses maximum of posterior estimation.