Information criteria to select best Prophet model

Question

How do you optimize your hyperparameters when using prophet for forecasting? I have been using cross validation and I don't know why no information criteria (such as AIC or BIC) has been implemented into the package.

Thank you!

Answer 1

You don’t see AIC or BIC for Prophet because it is a Bayesian model, while AIC and BIC are about the likelihood. For Bayesian model you would rather use WAIC or DIC, or cross-validation.