Leaderboards

fasterfastestoverallresidual-k_001residual-k_002residual-k_003residual-k_005residual-k_008residual-k_013residual-k_021residual-k_034special-k_001special-k_002special-k_003special-k_005special-k_008special-k_013special-k_021special-k_034univariate-k_001univariate-k_002univariate-k_003univariate-k_005univariate-k_008univariate-k_013univariate-k_021univariate-k_034

Accuracy and Speed of Some Short Term Automated Time-Series Forecasting Approaches (Python Packages only)

The Elo Ratings in this table are produced transparently in the repo timeseries-elo-ratings and based on k-step ahead prediction duels using live time series data. See METHODOLOGY.md for interpretation of Elo ratings. The table named univariate-k_002 refers to 2-step ahead prediction, and so forth. Residual leaderboards use so-called z-streams (as explained in An Introduction to Z-Streams).

There is some motivation in the blog post Fast Python Time-Series Forecasting. All algorithms utilized here can be called the same way using the TimeMachines Python package. However, as indicated in the table, some of these draw an important part of their functionality (if not all) from other packages such as Facebook Prophet, Statsmodels TSA, Flux, PmdArima, Uber Orbit and more. Take relative performance with with a grain of salt, since many packages don't intend completely autonomous use and some are aimed at longer term seasonal forecasts. If you have a suggestion for a package or technique that should be included, please file an issue or, even better, add a skater and make a pull request. There is a guide for contributors and a long list of popular time-series packages.

Some of these methods are used in real-time to provide free prediction to anyone who publishes public data using a community API explained at microprediction.com. See the example crawlers folder for examples of algorithms calling the timemachines package. See the knowledge center or contributor guide for instructions on publishing live data that can influence these ratings.

NameRatingGamesActiveSecondsDependencies
tsa_p2_d0_q12109.012410yes102.7statsmodels , timemachines
orbit_lgt_242046.061yes40.3orbit-ml , timemachines
tsa_p1_d0_q12021.07506yes87.8statsmodels , timemachines
tsa_p3_d0_q12015.03697yes105.7statsmodels , timemachines
elo_faster_univariate_balanced_ensemble1984.017071yes193.1timemachines
tsa_balanced_d0_ensemble1982.0627yes1237.8statsmodels , timemachines
tsa_precision_d0_ensemble1968.01134yes2203.2statsmodels , timemachines
sk_autoarima1926.01911yes293.1sktime , timemachines
tsa_p2_d0_q01902.010865yes45.2statsmodels , timemachines
tsa_aggressive_combined_ensemble1902.0700yes1484.3statsmodels , timemachines
tsa_p3_d0_q01894.08892yes56.4statsmodels , timemachines
elo_fastest_univariate_balanced_ensemble1875.025368yes253.1timemachines
bats_trendy_bc1867.0655yes774.0tbats , timemachines
elo_faster_residual_balanced_ensemble1864.025824yes20.5timemachines
elo_faster_univariate_aggressive_ensemble1863.021016yes240.8timemachines
slow_precision_ema_ensemble1861.023049yes0.3timemachines
elo_fastest_residual_balanced_ensemble1859.024706yes1.7timemachines
bats_trendy_arma_bc1856.0425yes1455.0tbats , timemachines
elo_faster_residual_precision_ensemble1855.018680yes15.0timemachines
tsa_aggressive_d0_ensemble1852.0818yes1028.5statsmodels , timemachines
elo_faster_residual_aggressive_ensemble1849.016652yes11.3timemachines
bats_damped_arma1845.0292yes1320.8tbats , timemachines
bats_damped_bc1843.0558yes917.9tbats , timemachines
elo_fastest_residual_precision_ensemble1837.029149yes1.3timemachines
elo_faster_univariate_precision_ensemble1837.019811yes238.4timemachines
elo_fastest_univariate_precision_ensemble1837.031036yes329.0timemachines
tsa_balanced_combined_ensemble1834.0897yes524.9statsmodels , timemachines
elo_fastest_univariate_aggressive_ensemble1827.022082yes282.4timemachines
merlion_arima1826.0592yes33.2timemachines
bats_trendy_arma1825.0342yes1128.5tbats , timemachines
orbit_lgt_121822.098yes20.2orbit-ml , timemachines
thinking_slow_and_fast1813.029310yes0.1timemachines
tsa_precision_combined_ensemble1808.0676yes1537.0statsmodels , timemachines
divine_univariate_hypocratic_fast1805.02692yes27.6divinity , timemachines
darts_autoarima1803.0435yes130.0darts , timemachines
slow_aggressive_ema_ensemble1797.026092yes0.3timemachines
tsa_p1_d0_q01795.014855yes30.0statsmodels , timemachines
bats_damped1793.0350yes717.2tbats , timemachines
slow_balanced_ema_ensemble1792.029987yes0.3timemachines
elo_fastest_residual_aggressive_ensemble1790.025345yes1.2timemachines
divine_univariate1788.03607yes33.8divinity , timemachines
bats_damped_arma_bc1778.0327yes1367.0tbats , timemachines
bats_trendy1775.0680yes832.1tbats , timemachines
divine_univariate_hypocratic_slow1774.03038yes20.0divinity , timemachines
aggressive_ema_ensemble1772.026879yes0.3timemachines
precision_ema_ensemble1752.030644yes0.2timemachines
bats_arma_bc1738.0292yes1390.7tbats , timemachines
thinking_precision_ensemble1733.01287yes0.6timemachines
sluggish_moving_average1732.030718yes0.0timemachines
thinking_fast_and_slow1730.024214yes0.1timemachines
thinking_slow_and_slow1722.024116yes0.1timemachines
bats_arma1719.0360yes1286.5tbats , timemachines
quick_precision_ema_ensemble1718.024907yes0.3timemachines
slowly_moving_average1710.031684yes0.0timemachines
balanced_ema_ensemble1706.027726yes0.2timemachines
sk_ae_add_damped1705.025880yes12.3sktime , timemachines
dlm_univariate_a1705.0684yes-1.0pydlm , timemachines
quick_aggressive_ema_ensemble1701.047934yes0.3timemachines
quick_balanced_ema_ensemble1698.023316yes0.3timemachines
sk_ae1691.023569yes11.6sktime , timemachines
pmd_exogenous_hypocratic1683.019405yes6.3pmdarima , timemachines
bats_bc1673.0704yes563.1tbats , timemachines
sk_ae_add1663.033226yes13.6sktime , timemachines
fbprophet_cautious1647.02509yes123.4prophet , timemachines
tsa_slowly_hypocratic_d0_ensemble1643.01599yes578.1statsmodels , timemachines
bats_fast1641.0718yes598.6tbats , timemachines
pmd_univariate1630.017258yes6.9pmdarima , timemachines
tsa_precision_theta_ensemble1620.021714yes3.4statsmodels , timemachines
fbprophet_chaser1612.052yes-1.0prophet , timemachines
tsa_balanced_theta_ensemble1604.024883yes4.0statsmodels , timemachines
fbprophet_univariate_hypocratic1595.02221yes120.8prophet , timemachines
fbprophet_exogenous_hypocratic1592.02348yes118.9prophet , timemachines
sk_theta1591.023762yes0.8sktime , timemachines
darts_theta1590.01682yes1.3darts , timemachines
darts_arima1576.01801yes11.8darts , timemachines
tsa_aggressive_theta_ensemble1556.029340yes3.8statsmodels , timemachines
quickly_moving_average1553.029991yes0.0timemachines
gk_basic_skater1552.036yes3656.6greykite , timemachines
tsa_quickly_hypocratic_d0_ensemble1552.01422yes1136.3statsmodels , timemachines
fbprophet_univariate1547.03727yes121.8prophet , timemachines
fbprophet_known1540.02583yes144.6prophet , timemachines
darts_four_theta1538.02388yes1.4darts , timemachines
fbprophet_recursive1513.02588yes133.2prophet , timemachines
rvr_slowly_hypocratic1505.011957yes0.5river , timemachines
darts_prophet1501.0556yes82.3darts , timemachines
fbprophet_cautious_hypocratic1487.01817yes124.4prophet , timemachines
thinking_fast_and_fast1487.023989yes0.1timemachines
darts_fft1485.01660yes0.7darts , timemachines
fbprophet_exogenous1482.03097yes135.7prophet , timemachines
rvr_quickly_hypocratic1471.016481yes0.4river , timemachines
merlion_prophet1471.0492yes42.0timemachines
suc_quick_aggressive_ema_ensemble1434.01591yes5.0successor , timemachines
dlm_univariate_b1426.0609yes-1.0pydlm , timemachines
darts_exp_smoothing1392.03501yes10.7darts , timemachines
suc_tsa_aggressive_d0_ensemble1354.0318yes3.0successor , timemachines
rapidly_moving_average1316.027881yes0.0timemachines
suc_tsa_p2_d0_q11289.01673yes5.3successor , timemachines
rvr_balanced_ensemble1271.015239yes0.4river , timemachines
nprophet_p31259.08302yes53.5neuralprophet , timemachines
fbprophet_univariate_univariate_hypocratic1240.01862yes391.3prophet , timemachines
nprophet_p21238.09947yes44.0neuralprophet , timemachines
smdk_p5_d0_q3_n1000_aggressive1221.011583yes83.8simdkalman , timemachines
fbprophet_exogenous_exogenous1216.01794yes329.1prophet , timemachines
smdk_p5_d0_q3_n10001188.08986yes79.0simdkalman , timemachines
nprophet_p81177.08496yes49.8neuralprophet , timemachines
nprophet_p51166.09698yes49.1neuralprophet , timemachines
nprophet_p1_hypocratic1160.08659yes49.1neuralprophet , timemachines
nprophet_p11157.019526yes51.4neuralprophet , timemachines
nprophet_p2_hypocratic1150.08703yes51.9neuralprophet , timemachines
smdk_p5_d0_q3_n500_aggressive1146.012130yes42.2simdkalman , timemachines
smdk_p5_d0_q3_n5001133.016974yes48.6simdkalman , timemachines
nprophet_p3_hypocratic1126.08900yes52.3neuralprophet , timemachines
nprophet_p8_hypocratic1094.08438yes53.1neuralprophet , timemachines
empirical_last_value1075.018950yes0.0timemachines
nprophet_p5_hypocratic1070.010555yes55.3neuralprophet , timemachines
rvr_p1_d0_q01067.017082yes0.0river , timemachines
rvr_p5_d0_q01049.014434yes0.1river , timemachines
merlion_mses1043.0294yes119.8timemachines
rvr_p2_d0_q01004.020921yes0.0river , timemachines
rvr_p8_d0_q0955.012534yes0.1river , timemachines
pycrt_median_3_full00yes0.0 , timemachines
darts_nbeats00yes0.0 , timemachines
sk_ae_mul_damped00yes0.0 , timemachines
rvr_p3_d0_q000yes0.0 , timemachines
pycrt_mean_800yes0.0 , timemachines
sk_ae_mul00yes0.0 , timemachines
regress_change_on_first_known00yes0.0 , timemachines
tsa_p1_d1_q000yes0.0 , timemachines
tsa_p2_d1_q000yes0.0 , timemachines
pycrt_mean_300yes0.0 , timemachines
pycrt_median_800yes0.0 , timemachines
pycrt_median_300yes0.0 , timemachines
rvr_aggressive_ensemble00yes0.0 , timemachines
tsa_p3_d1_q000yes0.0 , timemachines