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_balanced_combined_ensemble2275.014yes1634.6statsmodels , timemachines
elo_faster_residual_balanced_ensemble2199.0413yes19.9timemachines
tsa_precision_d0_ensemble2193.029yes446.3statsmodels , timemachines
tsa_p1_d0_q12178.0265yes79.4statsmodels , timemachines
rvr_quickly_hypocratic2164.0336no0.2river , timemachines
elo_faster_univariate_balanced_ensemble2160.0415yes28.0timemachines
thinking_slow_and_slow2150.0619yes0.1timemachines
tsa_balanced_d0_ensemble2124.017yes145.1statsmodels , timemachines
tsa_p3_d0_q02094.0305yes58.1statsmodels , timemachines
elo_faster_residual_precision_ensemble2083.0505yes13.3timemachines
tsa_quickly_hypocratic_d0_ensemble2049.038yes3799.3statsmodels , timemachines
sk_autoarima2042.038yes98.9sktime , timemachines
tsa_p2_d0_q12024.0106yes68.1statsmodels , timemachines
tsa_p3_d0_q12019.095yes65.9statsmodels , timemachines
bats_damped_arma_bc2000.011yes1478.7tbats , timemachines
tsa_p2_d0_q01961.0172yes104.0statsmodels , timemachines
tsa_slowly_hypocratic_d0_ensemble1953.039yes312.9statsmodels , timemachines
pmd_exogenous_hypocratic1947.0490yes1.6pmdarima , timemachines
bats_trendy1941.019yes822.0tbats , timemachines
bats_trendy_arma1937.09no1111.7tbats , timemachines
elo_fastest_residual_precision_ensemble1934.0659yes2.2timemachines
slow_precision_ema_ensemble1931.0610yes0.6timemachines
elo_fastest_univariate_balanced_ensemble1926.0574yes2.3timemachines
elo_faster_univariate_aggressive_ensemble1919.0538yes78.4timemachines
sk_ae_add_damped1912.0743yes5.1sktime , timemachines
slowly_moving_average1906.0891yes0.1timemachines
elo_faster_residual_aggressive_ensemble1905.0324yes21.1timemachines
balanced_ema_ensemble1904.0895yes0.3timemachines
elo_fastest_residual_balanced_ensemble1898.0479yes1.9timemachines
divine_univariate_hypocratic_slow1897.071yes88.2divinity , timemachines
tsa_aggressive_combined_ensemble1895.014yes1041.5statsmodels , timemachines
elo_fastest_univariate_aggressive_ensemble1878.0586yes2.2timemachines
tsa_precision_combined_ensemble1865.018yes812.3statsmodels , timemachines
elo_fastest_univariate_precision_ensemble1861.0883yes0.9timemachines
darts_prophet1857.010yes178.0darts , timemachines
divine_univariate_hypocratic_fast1855.043yes138.9divinity , timemachines
quick_aggressive_ema_ensemble1833.01320yes0.8timemachines
rvr_slowly_hypocratic1830.0328no0.2river , timemachines
sluggish_moving_average1817.0790yes0.0timemachines
slow_balanced_ema_ensemble1816.0851yes0.6timemachines
tsa_aggressive_d0_ensemble1814.023yes189.8statsmodels , timemachines
aggressive_ema_ensemble1810.0717yes0.3timemachines
bats_trendy_bc1804.013yes799.6tbats , timemachines
elo_faster_univariate_precision_ensemble1801.0572yes27.3timemachines
tsa_p1_d0_q01786.0422yes23.6statsmodels , timemachines
precision_ema_ensemble1782.0949yes0.4timemachines
bats_damped_bc1776.013yes1421.7tbats , timemachines
divine_univariate1774.049yes64.4divinity , timemachines
darts_exp_smoothing1754.02yes85.9darts , timemachines
bats_damped1743.09yes789.3tbats , timemachines
darts_autoarima1730.01yes85.9darts , timemachines
quick_precision_ema_ensemble1726.0702yes0.5timemachines
thinking_fast_and_slow1725.0590yes0.2timemachines
fbprophet_univariate1720.034yes77.1prophet , timemachines
bats_trendy_arma_bc1707.014yes1405.6tbats , timemachines
tsa_balanced_theta_ensemble1704.0509yes5.8statsmodels , timemachines
pmd_univariate1703.0409yes5.3pmdarima , timemachines
thinking_slow_and_fast1703.0581yes0.5timemachines
elo_fastest_residual_aggressive_ensemble1701.0519yes2.8timemachines
bats_damped_arma1694.07yes2366.1tbats , timemachines
sk_theta1679.0596yes1.5sktime , timemachines
darts_fft1667.02yes69.4darts , timemachines
slow_aggressive_ema_ensemble1663.0567yes0.5timemachines
bats_arma_bc1658.09yes947.1tbats , timemachines
bats_fast1653.07no673.4tbats , timemachines
tsa_precision_theta_ensemble1651.0524yes4.6statsmodels , timemachines
sk_ae1632.0772yes19.9sktime , timemachines
rvr_balanced_ensemble1630.0398no0.2river , timemachines
fbprophet_exogenous_hypocratic1612.035yes75.1prophet , timemachines
fbprophet_exogenous1611.028yes77.7prophet , timemachines
sk_ae_add1608.01061yes58.4sktime , timemachines
orbit_lgt_2416000yes-0.7orbit-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_mul16000no-0.1sktime , timemachines
sk_ae_mul_damped16000no-0.3sktime , 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
fbprophet_known1592.027yes77.6prophet , timemachines
fbprophet_cautious1587.023yes79.7prophet , timemachines
darts_arima1562.03yes89.4darts , timemachines
tsa_aggressive_theta_ensemble1560.0918yes7.6statsmodels , timemachines
quickly_moving_average1547.0684yes0.1timemachines
quick_balanced_ema_ensemble1532.0626yes0.5timemachines
bats_arma1522.011yes1316.9tbats , timemachines
bats_bc1498.019yes972.8tbats , timemachines
fbprophet_recursive1476.036yes95.0prophet , timemachines
thinking_fast_and_fast1468.0605yes0.5timemachines
rapidly_moving_average1455.0787yes0.1timemachines
fbprophet_univariate_hypocratic1444.030yes88.2prophet , timemachines
fbprophet_cautious_hypocratic1336.039yes78.8prophet , timemachines
rvr_p1_d0_q01299.0563no0.0river , timemachines
empirical_last_value1249.0540yes0.0timemachines
smdk_p5_d0_q3_n10001245.04yes115.8simdkalman , timemachines
rvr_p8_d0_q01231.0347no0.0river , timemachines
rvr_p2_d0_q01199.0443no0.0river , timemachines
fbprophet_exogenous_exogenous1159.033yes253.6prophet , timemachines
rvr_p5_d0_q01157.0299no0.0river , timemachines
fbprophet_univariate_univariate_hypocratic1044.030yes229.7prophet , timemachines
nprophet_p1727.0273yes60.4neuralprophet , timemachines
nprophet_p2717.0221yes252.0neuralprophet , timemachines
nprophet_p8_hypocratic701.0149yes179.6neuralprophet , timemachines
nprophet_p8625.0165yes214.0neuralprophet , timemachines
nprophet_p5_hypocratic610.0220yes60.1neuralprophet , timemachines
nprophet_p3610.0142yes177.0neuralprophet , timemachines
nprophet_p1_hypocratic565.0129yes61.8neuralprophet , timemachines
nprophet_p2_hypocratic507.0125yes309.5neuralprophet , timemachines
nprophet_p3_hypocratic488.0174yes60.8neuralprophet , timemachines
smdk_p5_d0_q3_n500_aggressive393.026yes86.6simdkalman , timemachines
nprophet_p5379.0121yes34.7neuralprophet , timemachines
smdk_p5_d0_q3_n1000_aggressive270.015yes101.4simdkalman , timemachines
smdk_p5_d0_q3_n50092.045yes68.0simdkalman , timemachines