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
pmd_exogenous_hypocratic2233.0455yes30.3pmdarima , timemachines
tsa_p3_d0_q12210.092yes210.2statsmodels , timemachines
slowly_moving_average2180.0879yes0.0timemachines
tsa_quickly_hypocratic_d0_ensemble2173.042yes198.4statsmodels , timemachines
elo_fastest_univariate_balanced_ensemble2170.0558yes1.1timemachines
elo_fastest_residual_aggressive_ensemble2156.0505yes1.2timemachines
tsa_p1_d0_q12141.0245yes60.3statsmodels , timemachines
rvr_slowly_hypocratic2136.0279no0.2river , timemachines
elo_faster_univariate_precision_ensemble2126.0472yes29.2timemachines
tsa_balanced_combined_ensemble2114.012yes140.2statsmodels , timemachines
elo_fastest_univariate_precision_ensemble2097.0907yes0.9timemachines
tsa_p2_d0_q12083.0100yes140.3statsmodels , timemachines
tsa_p1_d0_q02076.0403yes69.0statsmodels , timemachines
elo_fastest_residual_balanced_ensemble2029.0546yes1.7timemachines
sluggish_moving_average2028.0758yes0.0timemachines
elo_faster_residual_aggressive_ensemble2027.0352yes14.9timemachines
elo_fastest_residual_precision_ensemble2023.0617yes1.6timemachines
sk_autoarima2013.050yes630.4sktime , timemachines
elo_faster_univariate_aggressive_ensemble2008.0465yes22.2timemachines
tsa_precision_d0_ensemble1994.013yes43844.2statsmodels , timemachines
tsa_p3_d0_q01986.0362yes93.9statsmodels , timemachines
elo_fastest_univariate_aggressive_ensemble1976.0543yes0.9timemachines
elo_faster_univariate_balanced_ensemble1975.0387yes24.9timemachines
elo_faster_residual_precision_ensemble1966.0491yes14.7timemachines
elo_faster_residual_balanced_ensemble1959.0416yes4.5timemachines
tsa_slowly_hypocratic_d0_ensemble1921.053yes252.2statsmodels , timemachines
pmd_univariate1917.0420yes15.3pmdarima , timemachines
thinking_slow_and_fast1916.0604yes0.1timemachines
tsa_balanced_d0_ensemble1871.015yes1191.6statsmodels , timemachines
bats_arma1854.011no2195.7tbats , timemachines
bats_damped_arma_bc1850.014yes1180.7tbats , timemachines
divine_univariate1820.056yes72.6divinity , timemachines
slow_balanced_ema_ensemble1812.0847yes0.5timemachines
bats_damped_bc1810.016yes1172.4tbats , timemachines
tsa_precision_combined_ensemble1803.026yes258.6statsmodels , timemachines
tsa_aggressive_combined_ensemble1788.016yes178.0statsmodels , timemachines
precision_ema_ensemble1783.0929yes0.2timemachines
divine_univariate_hypocratic_slow1774.082yes81.0divinity , timemachines
slow_aggressive_ema_ensemble1764.0594yes0.4timemachines
thinking_fast_and_slow1763.0611yes0.1timemachines
thinking_slow_and_slow1752.0629yes0.2timemachines
bats_trendy1748.015yes1033.2tbats , timemachines
slow_precision_ema_ensemble1745.0653yes0.5timemachines
tsa_p2_d0_q01740.0227yes66.1statsmodels , timemachines
tsa_aggressive_theta_ensemble1739.0939yes6.0statsmodels , timemachines
quick_precision_ema_ensemble1736.0716yes0.4timemachines
darts_autoarima1721.01yes75.2darts , timemachines
quick_balanced_ema_ensemble1710.0684yes0.3timemachines
bats_trendy_bc1709.015yes950.5tbats , timemachines
balanced_ema_ensemble1691.0856yes0.2timemachines
fbprophet_exogenous_hypocratic1687.030yes90.4prophet , timemachines
tsa_balanced_theta_ensemble1684.0543yes17.4statsmodels , timemachines
bats_trendy_arma_bc1676.011yes1320.7tbats , timemachines
sk_theta1674.0569yes2.7sktime , timemachines
rvr_quickly_hypocratic1670.0297no0.2river , timemachines
darts_prophet1665.01yes464.3darts , timemachines
bats_damped1657.07yes1056.5tbats , timemachines
divine_univariate_hypocratic_fast1656.057yes97.4divinity , timemachines
aggressive_ema_ensemble1642.0725yes0.3timemachines
sk_ae_add1639.01034yes16.6sktime , timemachines
tsa_precision_theta_ensemble1612.0553yes5.1statsmodels , timemachines
darts_fft1607.02yes68.4darts , timemachines
orbit_lgt_2416000yes-0.7orbit-ml , timemachines
orbit_lgt_1216000yes-1.1orbit-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_damped16000no-0.1sktime , 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
quickly_moving_average1593.0667yes0.0timemachines
fbprophet_univariate1590.033yes77.4prophet , timemachines
fbprophet_cautious1586.034yes78.1prophet , timemachines
fbprophet_known1584.035yes89.1prophet , timemachines
fbprophet_univariate_hypocratic1573.034yes106.0prophet , timemachines
bats_trendy_arma1557.06no1038.6tbats , timemachines
fbprophet_recursive1545.028yes121.0prophet , timemachines
rvr_balanced_ensemble1543.0383no0.2river , timemachines
bats_fast1531.010yes718.2tbats , timemachines
bats_damped_arma1525.03yes1375.9tbats , timemachines
tsa_aggressive_d0_ensemble1524.013yes4334.7statsmodels , timemachines
darts_arima1519.01yes71.6darts , timemachines
fbprophet_exogenous1499.027yes77.9prophet , timemachines
bats_bc1496.020yes729.1tbats , timemachines
fbprophet_cautious_hypocratic1437.035yes221.5prophet , timemachines
darts_exp_smoothing1406.02yes87.8darts , timemachines
quick_aggressive_ema_ensemble1371.01294yes0.4timemachines
sk_ae_add_damped1365.0702yes12.1sktime , timemachines
sk_ae1345.0730yes14.0sktime , timemachines
bats_arma_bc1337.09yes4193.6tbats , timemachines
fbprophet_exogenous_exogenous1281.034yes299.8prophet , timemachines
thinking_fast_and_fast1256.0626yes0.2timemachines
empirical_last_value1237.0482yes0.0timemachines
rapidly_moving_average1229.0770yes0.0timemachines
rvr_p1_d0_q01224.0501no0.0river , timemachines
rvr_p2_d0_q01209.0411no0.0river , timemachines
rvr_p5_d0_q01200.0328no0.0river , timemachines
fbprophet_univariate_univariate_hypocratic1174.038yes249.4prophet , timemachines
rvr_p8_d0_q01150.0336no0.0river , timemachines
nprophet_p8_hypocratic1038.0124yes161.5neuralprophet , timemachines
nprophet_p21032.0167yes33.9neuralprophet , timemachines
smdk_p5_d0_q3_n1000857.09yes79.9simdkalman , timemachines
nprophet_p8856.0150yes197.9neuralprophet , timemachines
nprophet_p3854.0142yes296.1neuralprophet , timemachines
nprophet_p1788.0258yes168.6neuralprophet , timemachines
nprophet_p2_hypocratic788.0145yes169.7neuralprophet , timemachines
nprophet_p5787.0172yes200.7neuralprophet , timemachines
nprophet_p1_hypocratic781.0193yes163.1neuralprophet , timemachines
nprophet_p5_hypocratic777.0280yes167.7neuralprophet , timemachines
nprophet_p3_hypocratic700.0140yes65.3neuralprophet , timemachines
smdk_p5_d0_q3_n1000_aggressive624.014yes78.8simdkalman , timemachines
smdk_p5_d0_q3_n500466.097yes78.0simdkalman , timemachines
smdk_p5_d0_q3_n500_aggressive274.0120yes78.3simdkalman , timemachines