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_precision_combined_ensemble2184.012yes2401.5statsmodels , timemachines
elo_faster_residual_precision_ensemble2125.0522yes24.2timemachines
bats_damped_bc2116.024yes876.5tbats , timemachines
tsa_aggressive_combined_ensemble2114.036yes158.2statsmodels , timemachines
tsa_slowly_hypocratic_d0_ensemble2084.038yes768.9statsmodels , timemachines
tsa_p1_d0_q12074.0168yes90.3statsmodels , timemachines
elo_faster_residual_aggressive_ensemble2053.0406yes22.5timemachines
elo_faster_univariate_balanced_ensemble2015.0373yes1.0timemachines
tsa_p2_d0_q12007.083yes324.8statsmodels , timemachines
elo_fastest_univariate_precision_ensemble2002.0922yes1.2timemachines
bats_trendy_arma_bc1997.011yes1470.3tbats , timemachines
tsa_p3_d0_q11992.0104yes287.8statsmodels , timemachines
elo_faster_residual_balanced_ensemble1986.0353yes157.2timemachines
elo_fastest_univariate_balanced_ensemble1982.0547yes1.2timemachines
sk_autoarima1981.051yes286.6sktime , timemachines
elo_faster_univariate_aggressive_ensemble1979.0495yes1.9timemachines
elo_fastest_residual_balanced_ensemble1975.0496yes1.4timemachines
tsa_p3_d0_q01959.0205yes209.4statsmodels , timemachines
elo_faster_univariate_precision_ensemble1936.0454yes2.0timemachines
tsa_balanced_d0_ensemble1936.012yes610.9statsmodels , timemachines
tsa_p1_d0_q01922.0385yes25.9statsmodels , timemachines
elo_fastest_residual_precision_ensemble1900.0669yes1.2timemachines
sluggish_moving_average1896.0708yes0.0timemachines
slowly_moving_average1882.0863yes0.0timemachines
bats_trendy1863.015yes1914.5tbats , timemachines
tsa_precision_d0_ensemble1858.022yes169.2statsmodels , timemachines
tsa_p2_d0_q01857.0367yes111.7statsmodels , timemachines
aggressive_ema_ensemble1850.0768yes0.1timemachines
bats_trendy_bc1840.013yes902.6tbats , timemachines
thinking_slow_and_fast1819.0592yes0.1timemachines
elo_fastest_univariate_aggressive_ensemble1816.0562yes1.1timemachines
elo_fastest_residual_aggressive_ensemble1809.0507yes1.6timemachines
balanced_ema_ensemble1782.0833yes0.1timemachines
bats_damped1780.09yes880.9tbats , timemachines
slow_precision_ema_ensemble1776.0650yes0.3timemachines
precision_ema_ensemble1770.0888yes0.2timemachines
tsa_quickly_hypocratic_d0_ensemble1766.036yes2563.1statsmodels , timemachines
tsa_balanced_combined_ensemble1764.017yes390.7statsmodels , timemachines
divine_univariate_hypocratic_fast1759.041yes61.5divinity , timemachines
thinking_fast_and_slow1759.0619yes0.1timemachines
slow_balanced_ema_ensemble1748.0934yes0.2timemachines
tsa_aggressive_theta_ensemble1724.0904yes5.2statsmodels , timemachines
tsa_aggressive_d0_ensemble1719.011yes4426.6statsmodels , timemachines
thinking_slow_and_slow1702.0602yes0.1timemachines
bats_arma_bc1693.05yes4404.6tbats , timemachines
pmd_exogenous_hypocratic1688.0467yes6.8pmdarima , timemachines
quick_precision_ema_ensemble1681.0638yes0.3timemachines
darts_fft1681.03yes43.2darts , timemachines
fbprophet_cautious1672.026yes81.2prophet , timemachines
bats_bc1662.016yes618.6tbats , timemachines
divine_univariate_hypocratic_slow1653.070yes64.5divinity , timemachines
bats_damped_arma1649.02no684.2tbats , timemachines
rvr_slowly_hypocratic1636.0305no0.2river , timemachines
quickly_moving_average1626.0688yes0.0timemachines
darts_arima1625.02yes63.0darts , timemachines
sk_ae1616.0687yes18.6sktime , timemachines
bats_arma1615.09yes725.6tbats , timemachines
slow_aggressive_ema_ensemble1614.0527yes0.2timemachines
pmd_univariate1614.0449yes11.2pmdarima , timemachines
quick_aggressive_ema_ensemble1606.01355yes0.4timemachines
bats_damped_arma_bc1602.05no1716.2tbats , timemachines
sk_ae_add1601.01192yes13.1sktime , timemachines
orbit_lgt_2416000yes-0.5orbit-ml , timemachines
orbit_lgt_1216000yes-0.7orbit-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_mul16000no0.0sktime , 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
rvr_balanced_ensemble1599.0389no0.2river , timemachines
rvr_quickly_hypocratic1586.0296no0.2river , timemachines
sk_theta1571.0599yes0.6sktime , timemachines
darts_autoarima1555.02yes167.3darts , timemachines
fbprophet_recursive1537.027yes79.5prophet , timemachines
fbprophet_known1537.033yes101.4prophet , timemachines
sk_ae_add_damped1536.0711yes12.9sktime , timemachines
darts_exp_smoothing1527.01yes82.0darts , timemachines
darts_prophet1519.01yes119.0darts , timemachines
fbprophet_univariate1512.026yes136.0prophet , timemachines
quick_balanced_ema_ensemble1502.0600yes0.1timemachines
fbprophet_cautious_hypocratic1494.040yes77.8prophet , timemachines
bats_trendy_arma1487.07no1234.4tbats , timemachines
fbprophet_exogenous1478.033yes76.8prophet , timemachines
tsa_balanced_theta_ensemble1471.0520yes10.2statsmodels , timemachines
fbprophet_univariate_hypocratic1418.039yes84.4prophet , timemachines
divine_univariate1418.049yes68.4divinity , timemachines
tsa_precision_theta_ensemble1410.0551yes6.2statsmodels , timemachines
bats_fast1407.014yes916.5tbats , timemachines
fbprophet_exogenous_hypocratic1364.033yes76.2prophet , timemachines
rvr_p1_d0_q01328.0505no0.0river , timemachines
rvr_p5_d0_q01312.0330no0.0river , timemachines
rvr_p2_d0_q01217.0385no0.0river , timemachines
nprophet_p21206.0264yes79.0neuralprophet , timemachines
nprophet_p8_hypocratic1200.0165yes110.3neuralprophet , timemachines
nprophet_p31189.0149yes29.3neuralprophet , timemachines
nprophet_p3_hypocratic1185.0181yes110.1neuralprophet , timemachines
thinking_fast_and_fast1144.0608yes0.3timemachines
nprophet_p81142.0206yes75.6neuralprophet , timemachines
nprophet_p2_hypocratic1119.0205yes77.2neuralprophet , timemachines
rapidly_moving_average1108.0755yes0.0timemachines
nprophet_p51105.0170yes74.2neuralprophet , timemachines
nprophet_p11098.0286yes30.8neuralprophet , timemachines
empirical_last_value1060.0452yes0.0timemachines
fbprophet_exogenous_exogenous1049.030yes224.2prophet , timemachines
smdk_p5_d0_q3_n5001013.0136yes51.6simdkalman , timemachines
nprophet_p5_hypocratic1005.0305yes72.2neuralprophet , timemachines
fbprophet_univariate_univariate_hypocratic988.032yes229.4prophet , timemachines
rvr_p8_d0_q0963.0334no0.0river , timemachines
nprophet_p1_hypocratic933.0210yes141.5neuralprophet , timemachines
smdk_p5_d0_q3_n1000_aggressive855.064yes105.1simdkalman , timemachines
smdk_p5_d0_q3_n1000743.070yes51.0simdkalman , timemachines
smdk_p5_d0_q3_n500_aggressive718.0166yes54.0simdkalman , timemachines