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
elo_faster_residual_aggressive_ensemble2237.01624yes14.6timemachines
tsa_precision_combined_ensemble2125.015yes14940.8statsmodels , timemachines
elo_fastest_residual_balanced_ensemble2044.02123yes1.8timemachines
tsa_p1_d0_q12003.0247yes111.9statsmodels , timemachines
sk_theta2002.02101yes1.9sktime , timemachines
elo_faster_residual_precision_ensemble1981.01324yes12.5timemachines
elo_faster_residual_balanced_ensemble1952.03188yes9.9timemachines
bats_damped_arma1929.09yes1322.7tbats , timemachines
tsa_p2_d0_q11908.0306yes241.3statsmodels , timemachines
tsa_p3_d0_q11901.0199yes279.7statsmodels , timemachines
quick_aggressive_ema_ensemble1887.02868yes0.0timemachines
bats_damped_bc1884.09yes778.8tbats , timemachines
tsa_balanced_d0_ensemble1866.046yes1458.1statsmodels , timemachines
smdk_p5_d0_q3_n10001865.01066yes117.6simdkalman , timemachines
quick_precision_ema_ensemble1864.01793yes0.0timemachines
bats_trendy1854.033yes756.1tbats , timemachines
bats_trendy_bc1850.028yes848.0tbats , timemachines
tsa_aggressive_combined_ensemble1846.015yes3901.6statsmodels , timemachines
elo_fastest_univariate_aggressive_ensemble1843.01702yes2.0timemachines
tsa_precision_d0_ensemble1842.038yes146.5statsmodels , timemachines
tsa_balanced_combined_ensemble1837.045yes233.9statsmodels , timemachines
darts_arima1831.027yes39.7darts , timemachines
tsa_aggressive_d0_ensemble1814.054yes167.5statsmodels , timemachines
slow_precision_ema_ensemble1806.01745yes0.1timemachines
slow_aggressive_ema_ensemble1805.02339yes0.1timemachines
tsa_p1_d0_q01795.01213yes69.3statsmodels , timemachines
elo_faster_univariate_balanced_ensemble1794.01445yes2.3timemachines
elo_faster_univariate_aggressive_ensemble1783.01804yes2.1timemachines
elo_fastest_residual_aggressive_ensemble1781.03174yes2.2timemachines
elo_fastest_univariate_precision_ensemble1780.01779yes1.9timemachines
quick_balanced_ema_ensemble1777.01823yes0.1timemachines
bats_damped1776.014yes883.0tbats , timemachines
bats_trendy_arma_bc1773.020yes1317.2tbats , timemachines
bats_damped_arma_bc1763.019yes1319.5tbats , timemachines
smdk_p5_d0_q3_n5001755.02631yes14.2simdkalman , timemachines
precision_ema_ensemble1751.02026yes0.0timemachines
elo_faster_univariate_precision_ensemble1747.01401yes1.9timemachines
sk_autoarima1747.0117yes249.1sktime , timemachines
tsa_p2_d0_q01743.0778yes72.2statsmodels , timemachines
divine_univariate1741.0243yes189.5divinity , timemachines
tsa_balanced_theta_ensemble1738.02363yes5.0statsmodels , timemachines
bats_trendy_arma1713.09yes1235.1tbats , timemachines
aggressive_ema_ensemble1713.02038yes0.0timemachines
sk_ae_add_damped1710.01731yes12.2sktime , timemachines
smdk_p5_d0_q3_n1000_aggressive1707.02227yes38.2simdkalman , timemachines
darts_autoarima1706.01yes267.7darts , timemachines
tsa_p3_d0_q01688.0477yes67.9statsmodels , timemachines
smdk_p5_d0_q3_n500_aggressive1686.01354yes16.0simdkalman , timemachines
tsa_aggressive_theta_ensemble1683.01797yes11.3statsmodels , timemachines
elo_fastest_univariate_balanced_ensemble1683.02194yes2.5timemachines
slow_balanced_ema_ensemble1682.02249yes0.1timemachines
elo_fastest_residual_precision_ensemble1681.02838yes1.9timemachines
bats_arma_bc1681.011yes1156.3tbats , timemachines
tsa_precision_theta_ensemble1663.01700yes6.1statsmodels , timemachines
divine_univariate_hypocratic_fast1653.0204yes60.3divinity , timemachines
thinking_fast_and_slow1651.02012yes0.0timemachines
balanced_ema_ensemble1619.01856yes0.1timemachines
thinking_slow_and_fast1614.01706yes0.0timemachines
fbprophet_chaser1612.052no-1.0prophet , timemachines
sk_ae_add1610.02030yes19.1sktime , timemachines
bats_fast1605.031yes686.1tbats , timemachines
orbit_lgt_2416000yes-0.5orbit-ml , timemachines
orbit_lgt_1216000yes-0.8orbit-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_mul_damped16000no0.0sktime , timemachines
sk_ae_mul16000no-1.0sktime , timemachines
rvr_p3_d0_q016000no-1.0river , timemachines
rvr_aggressive_ensemble16000no-1.0river , timemachines
darts_ExponentialSmoothing_skater16000no-1.0darts , timemachines
nprophet_p1_hypocratic1590.0761yes87.6neuralprophet , timemachines
bats_bc1577.036yes557.6tbats , timemachines
nprophet_p51569.01082yes69.9neuralprophet , timemachines
sk_ae1562.01496yes16.1sktime , timemachines
divine_univariate_hypocratic_slow1560.0176yes60.8divinity , timemachines
fbprophet_exogenous_hypocratic1554.088yes76.3prophet , timemachines
fbprophet_univariate_univariate_hypocratic1549.087yes164.7prophet , timemachines
nprophet_p21548.0719yes67.8neuralprophet , timemachines
bats_arma1525.09yes3844.9tbats , timemachines
fbprophet_cautious1521.0165yes77.0prophet , timemachines
fbprophet_univariate_hypocratic1517.088yes245.7prophet , timemachines
dlm_univariate_b1515.059no-1.0pydlm , timemachines
nprophet_p8_hypocratic1509.0784yes70.5neuralprophet , timemachines
quickly_moving_average1506.02926yes0.0timemachines
nprophet_p11496.02003yes80.1neuralprophet , timemachines
tsa_slowly_hypocratic_d0_ensemble1487.077yes678.4statsmodels , timemachines
fbprophet_cautious_hypocratic1486.077yes78.7prophet , timemachines
nprophet_p5_hypocratic1484.0673yes65.6neuralprophet , timemachines
fbprophet_recursive1473.0156yes104.6prophet , timemachines
nprophet_p3_hypocratic1452.0850yes140.7neuralprophet , timemachines
nprophet_p81446.0694yes238.2neuralprophet , timemachines
fbprophet_exogenous_exogenous1436.092yes397.6prophet , timemachines
fbprophet_univariate1414.0165yes76.2prophet , timemachines
dlm_univariate_a1406.078no-1.0pydlm , timemachines
darts_prophet1392.02yes187.0darts , timemachines
nprophet_p2_hypocratic1386.0740yes68.1neuralprophet , timemachines
thinking_fast_and_fast1370.01698yes0.0timemachines
fbprophet_known1362.0169yes81.6prophet , timemachines
tsa_quickly_hypocratic_d0_ensemble1357.087yes294.5statsmodels , timemachines
thinking_slow_and_slow1334.02004yes0.0timemachines
nprophet_p31324.0720yes90.1neuralprophet , timemachines
darts_fft1317.04yes79.1darts , timemachines
slowly_moving_average1308.02540yes0.0timemachines
darts_exp_smoothing1299.024yes34.3darts , timemachines
rvr_p2_d0_q01280.02688no0.0river , timemachines
fbprophet_exogenous1263.0142yes77.7prophet , timemachines
rvr_slowly_hypocratic1262.0883no0.2river , timemachines
rvr_balanced_ensemble1254.01205no0.2river , timemachines
rapidly_moving_average1244.02294yes0.0timemachines
empirical_last_value1131.01508yes0.0timemachines
rvr_quickly_hypocratic1105.01382no0.2river , timemachines
sluggish_moving_average1064.03136yes0.0timemachines
pmd_exogenous_hypocratic968.01476yes11.3pmdarima , timemachines
rvr_p8_d0_q0878.0942no0.0river , timemachines
pmd_univariate786.01355yes6.4pmdarima , timemachines
rvr_p1_d0_q0747.01114no0.0river , timemachines
rvr_p5_d0_q0714.01477no0.0river , timemachines