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
bats_trendy_bc2124.09yes1574.8tbats , timemachines
tsa_p2_d0_q12029.0101yes2044.3statsmodels , timemachines
bats_arma2001.07yes2964.6tbats , timemachines
elo_faster_residual_precision_ensemble1938.0548yes1.6timemachines
elo_faster_univariate_balanced_ensemble1901.0390yes17.6timemachines
tsa_aggressive_combined_ensemble1891.018yes3519.7statsmodels , timemachines
divine_univariate_hypocratic_fast1878.046yes85.5divinity , timemachines
tsa_p1_d0_q11878.0109yes219.0statsmodels , timemachines
elo_faster_residual_balanced_ensemble1874.0609yes1.6timemachines
bats_trendy1857.030yes754.4tbats , timemachines
elo_fastest_univariate_balanced_ensemble1852.0582yes0.9timemachines
smdk_p5_d0_q3_n5001849.0292yes60.3simdkalman , timemachines
elo_faster_univariate_aggressive_ensemble1840.0519yes16.2timemachines
tsa_balanced_d0_ensemble1834.017yes2724.3statsmodels , timemachines
quick_balanced_ema_ensemble1816.0673yes0.1timemachines
elo_fastest_univariate_precision_ensemble1811.0933yes1.3timemachines
bats_damped_bc1810.014yes1587.8tbats , timemachines
tsa_slowly_hypocratic_d0_ensemble1802.035yes2198.0statsmodels , timemachines
tsa_p3_d0_q11793.099yes67.7statsmodels , timemachines
elo_fastest_residual_precision_ensemble1786.0671yes2.7timemachines
thinking_slow_and_slow1782.0611yes0.1timemachines
precision_ema_ensemble1779.0913yes0.1timemachines
elo_fastest_residual_balanced_ensemble1773.0540yes0.9timemachines
tsa_precision_combined_ensemble1771.09yes1020.7statsmodels , timemachines
quick_precision_ema_ensemble1766.0614yes0.6timemachines
elo_faster_residual_aggressive_ensemble1762.0516yes0.9timemachines
thinking_slow_and_fast1757.0559yes0.2timemachines
darts_fft1757.04yes61.1darts , timemachines
bats_trendy_arma_bc1749.09no1382.2tbats , timemachines
tsa_aggressive_theta_ensemble1742.0886yes4.5statsmodels , timemachines
slow_aggressive_ema_ensemble1739.0557yes0.1timemachines
slow_balanced_ema_ensemble1732.0795yes0.1timemachines
bats_damped_arma1724.07yes1497.8tbats , timemachines
darts_autoarima1718.01yes182.9darts , timemachines
bats_damped_arma_bc1713.010yes980.3tbats , timemachines
slow_precision_ema_ensemble1705.0585yes0.5timemachines
thinking_fast_and_slow1705.0626yes0.1timemachines
divine_univariate1699.079yes140.0divinity , timemachines
tsa_precision_d0_ensemble1690.023yes266.2statsmodels , timemachines
sk_autoarima1677.039yes308.7sktime , timemachines
pmd_exogenous_hypocratic1676.0459yes3.5pmdarima , timemachines
balanced_ema_ensemble1675.0856yes0.1timemachines
aggressive_ema_ensemble1675.0649yes0.1timemachines
quickly_moving_average1672.0671yes0.0timemachines
elo_fastest_univariate_aggressive_ensemble1669.0590yes1.6timemachines
tsa_aggressive_d0_ensemble1669.019yes747.4statsmodels , timemachines
sk_ae_add_damped1668.0638yes15.0sktime , timemachines
darts_prophet1666.01yes144.9darts , timemachines
tsa_quickly_hypocratic_d0_ensemble1661.038yes188.2statsmodels , timemachines
bats_arma_bc1659.07yes3047.7tbats , timemachines
tsa_p3_d0_q01647.0354yes135.8statsmodels , timemachines
tsa_balanced_theta_ensemble1644.0455yes4.8statsmodels , timemachines
divine_univariate_hypocratic_slow1644.061yes77.1divinity , timemachines
slowly_moving_average1642.0849yes0.0timemachines
sk_ae_add1622.0983yes18.6sktime , timemachines
elo_fastest_residual_aggressive_ensemble1615.0505yes0.9timemachines
sk_theta1614.0604yes2.0sktime , timemachines
tsa_p2_d0_q01612.0319yes99.6statsmodels , timemachines
tsa_balanced_combined_ensemble1612.020yes202.2statsmodels , timemachines
orbit_lgt_1216000yes-0.5orbit-ml , timemachines
orbit_lgt_2416000yes-1.7orbit-ml , timemachines
darts_four_theta16000yes-0.2darts , 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
darts_ExponentialSmoothing_skater16000no-1.0darts , timemachines
fbprophet_univariate1598.033yes74.9prophet , timemachines
elo_faster_univariate_precision_ensemble1594.0540yes38.2timemachines
fbprophet_exogenous1587.028yes79.4prophet , timemachines
fbprophet_cautious_hypocratic1578.026yes76.0prophet , timemachines
smdk_p5_d0_q3_n500_aggressive1578.0293yes30.9simdkalman , timemachines
bats_trendy_arma1576.08no834.3tbats , timemachines
fbprophet_known1566.035yes77.4prophet , timemachines
bats_bc1561.013yes949.6tbats , timemachines
sk_ae1557.0649yes16.0sktime , timemachines
fbprophet_recursive1547.041yes327.3prophet , timemachines
quick_aggressive_ema_ensemble1539.01186yes0.1timemachines
tsa_precision_theta_ensemble1530.0513yes22.0statsmodels , timemachines
fbprophet_exogenous_hypocratic1523.036yes76.3prophet , timemachines
fbprophet_univariate_hypocratic1517.036yes84.0prophet , timemachines
rvr_quickly_hypocratic1510.0321no0.2river , timemachines
thinking_fast_and_fast1507.0618yes0.1timemachines
fbprophet_cautious1507.032yes81.7prophet , timemachines
sluggish_moving_average1503.0728yes0.0timemachines
bats_damped1492.07yes904.4tbats , timemachines
smdk_p5_d0_q3_n10001485.0209yes102.2simdkalman , timemachines
rapidly_moving_average1456.0706yes0.0timemachines
nprophet_p51427.0225yes78.8neuralprophet , timemachines
tsa_p1_d0_q01411.0383yes35.4statsmodels , timemachines
smdk_p5_d0_q3_n1000_aggressive1403.0171yes82.9simdkalman , timemachines
pmd_univariate1394.0452yes3.2pmdarima , timemachines
nprophet_p21386.0249yes28.0neuralprophet , timemachines
rvr_slowly_hypocratic1381.0300no0.2river , timemachines
nprophet_p31375.0225yes70.1neuralprophet , timemachines
nprophet_p11373.0407yes128.4neuralprophet , timemachines
nprophet_p3_hypocratic1369.0145yes74.0neuralprophet , timemachines
bats_fast1353.011yes723.4tbats , timemachines
darts_arima1351.08yes42.9darts , timemachines
nprophet_p1_hypocratic1319.0264yes113.2neuralprophet , timemachines
rvr_balanced_ensemble1315.0388no0.2river , timemachines
nprophet_p2_hypocratic1311.0262yes164.2neuralprophet , timemachines
rvr_p1_d0_q01309.0458no0.0river , timemachines
nprophet_p8_hypocratic1283.0208yes162.0neuralprophet , timemachines
nprophet_p81264.0180yes102.5neuralprophet , timemachines
fbprophet_exogenous_exogenous1231.027no-1.0prophet , timemachines
darts_exp_smoothing1229.09yes39.5darts , timemachines
fbprophet_univariate_univariate_hypocratic1220.036yes247.8prophet , timemachines
rvr_p2_d0_q01175.0384no0.0river , timemachines
empirical_last_value1151.0445yes0.0timemachines
rvr_p5_d0_q01065.0279no0.0river , timemachines
rvr_p8_d0_q0986.0294no0.0river , timemachines
nprophet_p5_hypocratic926.0285yes27.8neuralprophet , timemachines