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
sk_autoarima2104.028yes2731.5sktime , timemachines
tsa_precision_combined_ensemble2074.021yes156.4statsmodels , timemachines
tsa_p2_d0_q12052.089yes1584.0statsmodels , timemachines
elo_faster_univariate_balanced_ensemble2028.0438yes16.4timemachines
bats_trendy_bc2017.010no1067.5tbats , timemachines
tsa_aggressive_combined_ensemble2005.015yes3215.4statsmodels , timemachines
tsa_p3_d0_q11989.078yes65.4statsmodels , timemachines
tsa_balanced_d0_ensemble1963.017yes2897.1statsmodels , timemachines
tsa_quickly_hypocratic_d0_ensemble1959.026yes2895.6statsmodels , timemachines
tsa_precision_d0_ensemble1943.019yes230.7statsmodels , timemachines
elo_fastest_residual_precision_ensemble1926.0676yes1.0timemachines
tsa_balanced_combined_ensemble1900.022yes179.6statsmodels , timemachines
thinking_slow_and_fast1884.0512yes0.1timemachines
elo_faster_residual_balanced_ensemble1878.0489yes0.9timemachines
tsa_p1_d0_q11834.0200yes77.4statsmodels , timemachines
tsa_slowly_hypocratic_d0_ensemble1833.033yes244.0statsmodels , timemachines
elo_fastest_univariate_precision_ensemble1828.0944yes1.2timemachines
bats_arma1828.05no969.6tbats , timemachines
elo_fastest_residual_aggressive_ensemble1827.0501yes0.8timemachines
tsa_aggressive_d0_ensemble1818.017yes224.3statsmodels , timemachines
elo_faster_residual_precision_ensemble1816.0531yes1.5timemachines
bats_trendy_arma1807.08yes3275.5tbats , timemachines
elo_fastest_univariate_aggressive_ensemble1799.0580yes0.6timemachines
divine_univariate_hypocratic_slow1783.060yes92.1divinity , timemachines
divine_univariate1769.055yes83.8divinity , timemachines
tsa_balanced_theta_ensemble1767.0502yes6.1statsmodels , timemachines
bats_trendy1766.022yes768.7tbats , timemachines
fbprophet_exogenous_hypocratic1759.034yes74.9prophet , timemachines
elo_faster_univariate_precision_ensemble1757.0671yes17.9timemachines
slow_aggressive_ema_ensemble1752.0594yes0.2timemachines
precision_ema_ensemble1746.0929yes0.1timemachines
tsa_p1_d0_q01744.0390yes81.6statsmodels , timemachines
tsa_p3_d0_q01740.0352yes81.5statsmodels , timemachines
thinking_fast_and_slow1737.0632yes0.0timemachines
sk_ae1736.0704yes16.9sktime , timemachines
elo_fastest_residual_balanced_ensemble1735.0552yes1.4timemachines
divine_univariate_hypocratic_fast1727.069yes74.5divinity , timemachines
elo_faster_univariate_aggressive_ensemble1723.0579yes0.6timemachines
darts_autoarima1723.01yes363.5darts , timemachines
elo_fastest_univariate_balanced_ensemble1709.0568yes1.8timemachines
slowly_moving_average1706.0961yes0.0timemachines
elo_faster_residual_aggressive_ensemble1704.0403yes-2.4timemachines
darts_prophet1703.01yes151.5darts , timemachines
bats_damped1696.07yes1196.8tbats , timemachines
aggressive_ema_ensemble1695.0645yes0.1timemachines
bats_fast1694.010yes652.8tbats , timemachines
slow_precision_ema_ensemble1689.0627yes0.2timemachines
rvr_slowly_hypocratic1687.0305no0.2river , timemachines
fbprophet_exogenous1686.037yes83.0prophet , timemachines
smdk_p5_d0_q3_n5001685.0222yes36.7simdkalman , timemachines
balanced_ema_ensemble1668.0833yes0.1timemachines
tsa_precision_theta_ensemble1660.0523yes4.9statsmodels , timemachines
bats_arma_bc1646.08yes903.9tbats , timemachines
fbprophet_known1641.031yes76.3prophet , timemachines
smdk_p5_d0_q3_n1000_aggressive1641.0146yes76.8simdkalman , timemachines
sluggish_moving_average1640.0730yes0.0timemachines
darts_arima1637.010yes70.0darts , timemachines
tsa_p2_d0_q01631.0268yes95.5statsmodels , timemachines
tsa_aggressive_theta_ensemble1628.0836yes6.4statsmodels , timemachines
fbprophet_cautious_hypocratic1627.035yes76.9prophet , timemachines
slow_balanced_ema_ensemble1620.0893yes0.2timemachines
bats_damped_arma1619.06no1365.7tbats , timemachines
quick_precision_ema_ensemble1611.0600yes0.2timemachines
orbit_lgt_2416000yes-0.5orbit-ml , timemachines
orbit_lgt_1216000yes-0.6orbit-ml , timemachines
darts_four_theta16000yes-0.1darts , 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-1.0sktime , 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
smdk_p5_d0_q3_n500_aggressive1578.0245yes62.8simdkalman , timemachines
thinking_slow_and_slow1577.0630yes0.1timemachines
bats_bc1569.016yes1119.9tbats , timemachines
quickly_moving_average1562.0622yes0.0timemachines
bats_trendy_arma_bc1559.014yes1384.7tbats , timemachines
fbprophet_univariate_hypocratic1556.028yes80.4prophet , timemachines
sk_ae_add1543.01111yes18.7sktime , timemachines
sk_ae_add_damped1542.0666yes20.9sktime , timemachines
bats_damped_arma_bc1539.09yes1780.3tbats , timemachines
quick_aggressive_ema_ensemble1535.01180yes0.3timemachines
pmd_exogenous_hypocratic1515.0526yes11.2pmdarima , timemachines
bats_damped_bc1509.014yes798.0tbats , timemachines
darts_exp_smoothing1503.05yes61.7darts , timemachines
darts_fft1495.01yes111.1darts , timemachines
fbprophet_recursive1475.036yes75.7prophet , timemachines
quick_balanced_ema_ensemble1470.0572yes0.1timemachines
sk_theta1468.0563yes1.1sktime , timemachines
fbprophet_cautious1450.038yes103.4prophet , timemachines
pmd_univariate1437.0407yes3.3pmdarima , timemachines
smdk_p5_d0_q3_n10001415.0180yes117.5simdkalman , timemachines
fbprophet_univariate1413.033yes86.9prophet , timemachines
thinking_fast_and_fast1377.0705yes0.0timemachines
rvr_balanced_ensemble1369.0349no0.2river , timemachines
rvr_quickly_hypocratic1369.0322no0.2river , timemachines
nprophet_p8_hypocratic1354.0180yes28.7neuralprophet , timemachines
nprophet_p11278.0394yes60.6neuralprophet , timemachines
nprophet_p81243.0193yes90.0neuralprophet , timemachines
nprophet_p51231.0215yes96.4neuralprophet , timemachines
nprophet_p21217.0298yes61.2neuralprophet , timemachines
nprophet_p1_hypocratic1189.0244yes30.5neuralprophet , timemachines
nprophet_p3_hypocratic1182.0232yes76.2neuralprophet , timemachines
fbprophet_univariate_univariate_hypocratic1161.033yes335.7prophet , timemachines
fbprophet_exogenous_exogenous1119.032yes225.1prophet , timemachines
nprophet_p31095.0188yes142.3neuralprophet , timemachines
nprophet_p5_hypocratic1094.0265yes85.2neuralprophet , timemachines
nprophet_p2_hypocratic1085.0173yes74.3neuralprophet , timemachines
rvr_p5_d0_q01078.0263no0.0river , timemachines
rvr_p8_d0_q01026.0285no0.0river , timemachines
rapidly_moving_average1020.0756yes0.1timemachines
rvr_p2_d0_q01017.0331no0.0river , timemachines
rvr_p1_d0_q0933.0462no0.0river , timemachines
empirical_last_value907.0417yes0.0timemachines