How to get feature importance of FB prophet?
Use SHAP to get it. It will tell you what are the features and how much it is contributing on individual level as well.
I am using FB Prophet to do time-series forecast. I added two features--discount and promotion, and add holiday effect. The model fits well. But I want to get the feature importance to check how much contribution of 2 features. It seems FB Prophet does not have the feature importance function like other machine learning models "model.feature_importances_".
In FB Prophet, I can get the "forecast" dataframe, which contains :
trend
yhat_lower
yhat_upper
trend_lower
trend_upper
discount_x
discount_lower
discount_upper
extra_regressors_multiplicative
extra_regressors_multiplicative_lower
extra_regressors_multiplicative_upper
holidays    holidays_lower
holidays_upper
multiplicative_terms    multiplicative_terms_lower
multiplicative_terms_upper
promotion_x
promotion_lower
promotion_upper
promotion_Day
promotion_Day_lower
promotion_Day_upper
weekly
weekly_lower
weekly_upper
additive_terms
additive_terms_lower
additive_terms_upper
yhat
y
In that case, how can I analyze the feature importance?
THANK YOU!