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
tsa_aggressive_combined_ensemble2034.023yes5620.4statsmodels , timemachines
tsa_p2_d0_q01929.0433yes30.3statsmodels , timemachines
tsa_balanced_d0_ensemble1909.012yes900.6statsmodels , timemachines
elo_faster_univariate_precision_ensemble1908.01145yes0.8timemachines
bats_trendy_bc1906.015yes772.5tbats , timemachines
elo_fastest_residual_precision_ensemble1893.01326yes3.1timemachines
elo_fastest_univariate_precision_ensemble1886.01881yes0.9timemachines
bats_trendy_arma_bc1881.011yes1974.1tbats , timemachines
tsa_balanced_combined_ensemble1864.037yes296.8statsmodels , timemachines
divine_univariate_hypocratic_fast1863.082yes158.1divinity , timemachines
bats_damped_bc1862.024yes1267.0tbats , timemachines
elo_faster_residual_balanced_ensemble1857.0814yes21.5timemachines
elo_fastest_residual_aggressive_ensemble1853.0996yes3.3timemachines
sk_theta1847.01069yes1.5sktime , timemachines
tsa_p3_d0_q11820.0111yes209.9statsmodels , timemachines
pmd_exogenous_hypocratic1820.0911yes6.1pmdarima , timemachines
elo_faster_univariate_aggressive_ensemble1812.01062yes0.8timemachines
smdk_p5_d0_q3_n500_aggressive1812.0716yes19.7simdkalman , timemachines
thinking_slow_and_fast1805.01079yes0.1timemachines
elo_fastest_univariate_balanced_ensemble1791.01010yes1.3timemachines
slow_precision_ema_ensemble1787.01047yes0.2timemachines
tsa_precision_d0_ensemble1779.029yes726.2statsmodels , timemachines
aggressive_ema_ensemble1779.01213yes0.0timemachines
slow_aggressive_ema_ensemble1777.01058yes0.1timemachines
elo_faster_residual_precision_ensemble1771.0897yes71.7timemachines
sk_autoarima1760.095yes70.6sktime , timemachines
quick_precision_ema_ensemble1747.01165yes0.7timemachines
divine_univariate_hypocratic_slow1744.0132yes100.9divinity , timemachines
elo_faster_residual_aggressive_ensemble1743.0552yes51.2timemachines
elo_fastest_univariate_aggressive_ensemble1737.01064yes0.8timemachines
sk_ae_add_damped1729.01172yes14.3sktime , timemachines
quick_balanced_ema_ensemble1726.01066yes0.1timemachines
tsa_p2_d0_q11725.0214yes74.7statsmodels , timemachines
bats_trendy1719.028yes871.2tbats , timemachines
tsa_p3_d0_q01715.0335yes213.3statsmodels , timemachines
darts_autoarima1714.01yes284.6darts , timemachines
tsa_p1_d0_q11709.0233yes208.5statsmodels , timemachines
balanced_ema_ensemble1702.01550yes0.0timemachines
sk_ae_add1698.01951yes14.4sktime , timemachines
tsa_precision_combined_ensemble1694.031yes233.8statsmodels , timemachines
quick_aggressive_ema_ensemble1689.02321yes0.1timemachines
sk_ae1683.01285yes16.8sktime , timemachines
tsa_aggressive_d0_ensemble1678.017yes2859.2statsmodels , timemachines
bats_arma_bc1678.010yes2334.9tbats , timemachines
bats_damped_arma1666.09yes1504.0tbats , timemachines
elo_faster_univariate_balanced_ensemble1664.0834yes0.9timemachines
tsa_aggressive_theta_ensemble1652.01558yes4.8statsmodels , timemachines
fbprophet_cautious1652.026yes99.9prophet , timemachines
bats_damped_arma_bc1650.013yes1396.8tbats , timemachines
tsa_balanced_theta_ensemble1631.0985yes5.6statsmodels , timemachines
bats_damped1619.06yes1904.4tbats , timemachines
tsa_p1_d0_q01612.0667yes88.6statsmodels , timemachines
quickly_moving_average1608.01100yes0.0timemachines
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_mul16000no-0.1sktime , timemachines
sk_ae_mul_damped16000no-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
darts_ExponentialSmoothing_skater16000no-1.0darts , timemachines
bats_bc1600.031yes853.5tbats , timemachines
thinking_fast_and_slow1587.01036yes0.1timemachines
slowly_moving_average1585.01492yes0.0timemachines
fbprophet_exogenous1584.037yes76.2prophet , timemachines
elo_fastest_residual_balanced_ensemble1580.01065yes3.3timemachines
precision_ema_ensemble1575.01510yes0.1timemachines
bats_trendy_arma1574.08yes2987.2tbats , timemachines
bats_arma1573.05yes1598.7tbats , timemachines
fbprophet_univariate1554.032yes93.7prophet , timemachines
darts_prophet1553.03yes116.2darts , timemachines
nprophet_p11552.01008yes30.3neuralprophet , timemachines
fbprophet_known1549.040yes79.2prophet , timemachines
rvr_slowly_hypocratic1544.0525no0.2river , timemachines
smdk_p5_d0_q3_n5001543.0817yes20.5simdkalman , timemachines
slow_balanced_ema_ensemble1539.01653yes0.1timemachines
nprophet_p5_hypocratic1530.0512yes72.8neuralprophet , timemachines
nprophet_p8_hypocratic1530.0370yes27.3neuralprophet , timemachines
fbprophet_recursive1525.033yes76.2prophet , timemachines
divine_univariate1519.071yes71.7divinity , timemachines
darts_fft1511.04yes16.7darts , timemachines
smdk_p5_d0_q3_n10001503.0528yes61.2simdkalman , timemachines
fbprophet_cautious_hypocratic1498.024yes76.5prophet , timemachines
tsa_slowly_hypocratic_d0_ensemble1487.061yes346.0statsmodels , timemachines
fbprophet_univariate_univariate_hypocratic1479.019yes239.0prophet , timemachines
darts_exp_smoothing1475.01yes62.0darts , timemachines
thinking_fast_and_fast1466.01122yes0.1timemachines
nprophet_p31454.0336yes72.3neuralprophet , timemachines
pmd_univariate1448.0714yes17.1pmdarima , timemachines
nprophet_p51442.0383yes86.3neuralprophet , timemachines
rvr_quickly_hypocratic1430.0608no0.2river , timemachines
fbprophet_univariate_hypocratic1426.031yes121.2prophet , timemachines
fbprophet_exogenous_hypocratic1425.030yes78.0prophet , timemachines
bats_fast1419.023yes719.7tbats , timemachines
smdk_p5_d0_q3_n1000_aggressive1416.0595yes74.3simdkalman , timemachines
nprophet_p1_hypocratic1410.0415yes84.4neuralprophet , timemachines
rvr_balanced_ensemble1407.0633no0.2river , timemachines
darts_arima1407.022yes84.4darts , timemachines
sluggish_moving_average1404.01314yes0.0timemachines
fbprophet_exogenous_exogenous1404.032yes244.8prophet , timemachines
rapidly_moving_average1397.01366yes0.0timemachines
nprophet_p81397.0414yes238.7neuralprophet , timemachines
thinking_slow_and_slow1380.01037yes0.1timemachines
tsa_precision_theta_ensemble1379.0941yes13.4statsmodels , timemachines
nprophet_p3_hypocratic1349.0388yes97.1neuralprophet , timemachines
nprophet_p21320.0573yes27.8neuralprophet , timemachines
rvr_p1_d0_q01313.0810no0.0river , timemachines
nprophet_p2_hypocratic1282.0457yes264.4neuralprophet , timemachines
rvr_p2_d0_q01201.0701no0.0river , timemachines
rvr_p5_d0_q01090.0537no0.0river , timemachines
rvr_p8_d0_q01026.0541no0.0river , timemachines
empirical_last_value885.0797yes0.0timemachines
tsa_quickly_hypocratic_d0_ensemble885.054yes4522.7statsmodels , timemachines