Leaderboards

fasterfastestoverallresidual-k_001residual-k_002residual-k_003residual-k_005residual-k_008residual-k_013residual-k_021residual-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
elo_fastest_residual_aggressive_ensemble2055.01634yes1.7timemachines
tsa_precision_combined_ensemble2053.030yes227.9statsmodels , timemachines
bats_damped_arma_bc2004.016yes1501.4tbats , timemachines
tsa_balanced_d0_ensemble1954.039yes176.1statsmodels , timemachines
tsa_precision_d0_ensemble1948.051yes166.0statsmodels , timemachines
tsa_p1_d0_q11943.0356yes78.6statsmodels , timemachines
tsa_balanced_combined_ensemble1919.051yes379.3statsmodels , timemachines
elo_faster_residual_precision_ensemble1913.01852yes14.8timemachines
bats_bc1903.045yes717.0tbats , timemachines
tsa_p1_d0_q01902.01080yes25.1statsmodels , timemachines
elo_faster_univariate_balanced_ensemble1888.01370yes2.2timemachines
slow_balanced_ema_ensemble1874.02589yes0.1timemachines
elo_fastest_residual_precision_ensemble1874.02364yes2.2timemachines
tsa_p2_d0_q01873.0591yes181.9statsmodels , timemachines
aggressive_ema_ensemble1872.01982yes0.0timemachines
precision_ema_ensemble1866.02660yes0.0timemachines
bats_trendy_bc1858.034yes1063.9tbats , timemachines
quick_precision_ema_ensemble1848.02020yes0.1timemachines
divine_univariate1846.0132yes111.9divinity , timemachines
elo_faster_univariate_aggressive_ensemble1841.01849yes3.7timemachines
elo_faster_univariate_precision_ensemble1838.01761yes2.7timemachines
elo_fastest_univariate_precision_ensemble1832.03280yes2.1timemachines
tsa_balanced_theta_ensemble1825.01665yes6.1statsmodels , timemachines
tsa_p3_d0_q01822.01064yes93.8statsmodels , timemachines
elo_faster_residual_balanced_ensemble1821.01669yes15.9timemachines
bats_trendy_arma_bc1814.019yes1450.7tbats , timemachines
tsa_aggressive_combined_ensemble1813.079yes162.2statsmodels , timemachines
sk_autoarima1806.0131yes126.3sktime , timemachines
slow_precision_ema_ensemble1805.01890yes0.1timemachines
elo_fastest_residual_balanced_ensemble1794.02006yes2.4timemachines
sk_theta1790.01866yes1.4sktime , timemachines
tsa_p3_d0_q11787.0163yes77.4statsmodels , timemachines
bats_trendy_arma1785.013yes1267.0tbats , timemachines
slow_aggressive_ema_ensemble1784.01655yes0.1timemachines
quick_aggressive_ema_ensemble1782.04070yes0.0timemachines
elo_fastest_univariate_balanced_ensemble1778.01826yes1.8timemachines
quick_balanced_ema_ensemble1774.01778yes0.1timemachines
bats_arma_bc1767.015yes1445.0tbats , timemachines
smdk_p5_d0_q3_n5001758.01654yes13.5simdkalman , timemachines
smdk_p5_d0_q3_n500_aggressive1757.01357yes16.0simdkalman , timemachines
balanced_ema_ensemble1756.02544yes0.0timemachines
elo_faster_residual_aggressive_ensemble1744.01535yes14.3timemachines
tsa_p2_d0_q11735.0245yes83.3statsmodels , timemachines
divine_univariate_hypocratic_slow1726.0122yes229.3divinity , timemachines
tsa_precision_theta_ensemble1712.01786yes13.9statsmodels , timemachines
tsa_aggressive_theta_ensemble1706.02711yes4.0statsmodels , timemachines
tsa_aggressive_d0_ensemble1700.049yes198.3statsmodels , timemachines
bats_arma1687.021yes1423.5tbats , timemachines
darts_arima1679.017yes52.9darts , timemachines
smdk_p5_d0_q3_n1000_aggressive1677.01701yes67.7simdkalman , timemachines
bats_fast1675.016yes694.8tbats , timemachines
elo_fastest_univariate_aggressive_ensemble1661.01946yes1.9timemachines
darts_prophet1659.03yes347.9darts , timemachines
thinking_slow_and_fast1655.01712yes0.0timemachines
sk_ae_add1655.02797yes60.7sktime , timemachines
thinking_fast_and_fast1638.02045yes0.0timemachines
orbit_lgt_2416000yes-0.5orbit-ml , timemachines
orbit_lgt_1216000yes-0.6orbit-ml , timemachines
darts_four_theta16000yes-0.3darts , timemachines
regress_change_on_first_known16000no-1.0timemachines
tsa_p1_d1_q016000no-1.0statsmodels , timemachines
tsa_p2_d1_q016000no-1.0statsmodels , timemachines
tsa_p3_d1_q016000no-1.0statsmodels , timemachines
sk_ae_mul_damped16000no0.0sktime , timemachines
sk_ae_mul16000no-0.1sktime , timemachines
rvr_p3_d0_q016000no-1.0river , timemachines
rvr_aggressive_ensemble16000no-1.0river , timemachines
dlm_univariate_a16000no-1.0pydlm , timemachines
dlm_univariate_b16000no-1.0pydlm , timemachines
bats_damped_bc1599.030yes875.6tbats , timemachines
darts_ExponentialSmoothing_skater1597.02no22.0darts , timemachines
nprophet_p5_hypocratic1585.01249yes155.1neuralprophet , timemachines
darts_fft1580.014yes16.8darts , timemachines
bats_damped1571.09yes828.0tbats , timemachines
fbprophet_exogenous_hypocratic1570.038yes75.3prophet , timemachines
divine_univariate_hypocratic_fast1570.0104yes152.5divinity , timemachines
fbprophet_cautious_hypocratic1557.032yes75.2prophet , timemachines
fbprophet_univariate_hypocratic1551.030yes128.1prophet , timemachines
fbprophet_univariate_univariate_hypocratic1542.034yes382.0prophet , timemachines
quickly_moving_average1534.01830yes0.0timemachines
nprophet_p31529.0794yes82.0neuralprophet , timemachines
darts_autoarima1527.01yes172.8darts , timemachines
bats_damped_arma1508.07yes833.5tbats , timemachines
darts_exp_smoothing1493.058yes30.1darts , timemachines
sk_ae1490.02249yes28.4sktime , timemachines
nprophet_p51487.0658yes159.7neuralprophet , timemachines
nprophet_p11484.01815yes69.6neuralprophet , timemachines
sk_ae_add_damped1475.02118yes64.4sktime , timemachines
nprophet_p21457.0862yes67.2neuralprophet , timemachines
bats_trendy1456.042yes902.9tbats , timemachines
smdk_p5_d0_q3_n10001442.01132yes26.1simdkalman , timemachines
nprophet_p1_hypocratic1431.0778yes70.2neuralprophet , timemachines
fbprophet_cautious1424.032yes77.5prophet , timemachines
fbprophet_exogenous1422.028yes83.3prophet , timemachines
nprophet_p2_hypocratic1414.0741yes68.2neuralprophet , timemachines
slowly_moving_average1413.02485yes0.0timemachines
rapidly_moving_average1411.02376yes0.0timemachines
fbprophet_known1401.033yes89.6prophet , timemachines
tsa_slowly_hypocratic_d0_ensemble1387.0111yes164.9statsmodels , timemachines
nprophet_p81339.0711yes71.8neuralprophet , timemachines
empirical_last_value1330.01424yes0.0timemachines
nprophet_p8_hypocratic1330.0600yes70.1neuralprophet , timemachines
fbprophet_exogenous_exogenous1307.032yes165.4prophet , timemachines
thinking_slow_and_slow1305.01732yes0.0timemachines
nprophet_p3_hypocratic1296.0680yes238.5neuralprophet , timemachines
thinking_fast_and_slow1278.01895yes0.0timemachines
pmd_exogenous_hypocratic1269.01411yes3.5pmdarima , timemachines
fbprophet_recursive1268.033yes77.0prophet , timemachines
fbprophet_univariate1264.021yes76.1prophet , timemachines
rvr_balanced_ensemble1234.01203no0.2river , timemachines
rvr_slowly_hypocratic1184.0909no0.2river , timemachines
tsa_quickly_hypocratic_d0_ensemble1152.0106yes230.7statsmodels , timemachines
pmd_univariate1115.01184yes31.0pmdarima , timemachines
sluggish_moving_average1077.02112yes0.0timemachines
rvr_quickly_hypocratic1066.01039no0.2river , timemachines
rvr_p2_d0_q01008.01175no0.0river , timemachines
rvr_p1_d0_q0977.01526no0.0river , timemachines
rvr_p5_d0_q0922.0925no0.0river , timemachines
rvr_p8_d0_q0820.0947no0.0river , timemachines