Leaderboards

fasterfastestoverallresidual-k_001residual-k_002residual-k_003residual-k_005residual-k_008residual-k_013residual-k_021residual-k_034univariate-k_001univariate-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
bats_bc2034.017yes716.0tbats , timemachines
divine_univariate_hypocratic_fast1993.0136yes48.8divinity , timemachines
tsa_p3_d0_q01980.0279yes115.1statsmodels , timemachines
sk_autoarima1968.057yes119.4sktime , timemachines
tsa_precision_d0_ensemble1964.031yes151.5statsmodels , timemachines
slow_precision_ema_ensemble1953.01117yes0.1timemachines
bats_trendy1925.013yes919.5tbats , timemachines
elo_faster_univariate_precision_ensemble1914.0890yes7.5timemachines
tsa_aggressive_combined_ensemble1896.012yes3501.2statsmodels , timemachines
divine_univariate_hypocratic_slow1891.0128yes88.5divinity , timemachines
tsa_balanced_d0_ensemble1863.024yes143.8statsmodels , timemachines
bats_arma_bc1859.07no4617.3tbats , timemachines
tsa_p3_d0_q11845.0185yes90.6statsmodels , timemachines
bats_trendy_bc1841.019yes1081.6tbats , timemachines
quick_aggressive_ema_ensemble1840.01619yes0.1timemachines
elo_fastest_residual_precision_ensemble1837.01626yes0.5timemachines
elo_faster_univariate_balanced_ensemble1832.0851yes5.0timemachines
slow_aggressive_ema_ensemble1822.01437yes0.1timemachines
elo_fastest_residual_balanced_ensemble1819.01259yes0.7timemachines
sk_ae_add1814.01237yes5.1sktime , timemachines
quick_precision_ema_ensemble1804.01091yes0.1timemachines
slow_balanced_ema_ensemble1803.01379yes0.1timemachines
tsa_p1_d0_q11802.0329yes61.8statsmodels , timemachines
elo_fastest_univariate_precision_ensemble1798.01108yes0.5timemachines
elo_fastest_univariate_balanced_ensemble1777.01387yes0.5timemachines
darts_autoarima1776.016yes143.2darts , timemachines
elo_fastest_univariate_aggressive_ensemble1765.0960yes0.8timemachines
elo_faster_residual_aggressive_ensemble1764.0772yes0.5timemachines
tsa_p2_d0_q11758.0160yes50.2statsmodels , timemachines
elo_faster_univariate_aggressive_ensemble1752.01102yes5.9timemachines
elo_faster_residual_balanced_ensemble1747.01503yes0.5timemachines
thinking_fast_and_fast1740.01079yes0.0timemachines
bats_damped_arma1739.06yes1872.2tbats , timemachines
thinking_slow_and_slow1737.01183yes0.0timemachines
quick_balanced_ema_ensemble1732.01089yes0.1timemachines
elo_faster_residual_precision_ensemble1731.0616yes0.5timemachines
tsa_p1_d0_q01725.0713yes10.2statsmodels , timemachines
elo_fastest_residual_aggressive_ensemble1722.01733yes0.6timemachines
tsa_precision_combined_ensemble1720.016yes163.0statsmodels , timemachines
dlm_univariate_a1719.061no-1.0pydlm , timemachines
thinking_slow_and_fast1715.01142yes0.0timemachines
bats_trendy_arma1703.011yes902.2tbats , timemachines
aggressive_ema_ensemble1702.01291yes0.0timemachines
darts_arima1692.030yes9.5darts , timemachines
precision_ema_ensemble1692.01224yes0.0timemachines
smdk_p5_d0_q3_n10001684.0474yes22.3simdkalman , timemachines
smdk_p5_d0_q3_n500_aggressive1682.0681yes8.9simdkalman , timemachines
tsa_p2_d0_q01676.0582yes14.2statsmodels , timemachines
divine_univariate1665.0219yes124.7divinity , timemachines
fbprophet_univariate_hypocratic1657.089yes76.8prophet , timemachines
bats_trendy_arma_bc1656.07yes2253.2tbats , timemachines
slowly_moving_average1653.01489yes0.0timemachines
sk_ae1634.0910yes7.1sktime , timemachines
fbprophet_cautious_hypocratic1625.087yes112.3prophet , timemachines
smdk_p5_d0_q3_n5001624.01150yes10.5simdkalman , timemachines
rvr_slowly_hypocratic1620.0515yes0.2river , timemachines
thinking_fast_and_slow1616.01232yes0.0timemachines
tsa_aggressive_theta_ensemble1607.01056yes2.4statsmodels , timemachines
bats_fast1601.024yes257.4tbats , timemachines
orbit_lgt_1216000yes0.0orbit-ml , timemachines
orbit_lgt_2416000yes0.0orbit-ml , 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
fbprophet_chaser16000no-1.0prophet , timemachines
darts_ExponentialSmoothing_skater16000no-1.0darts , timemachines
darts_nbeats16000no-1.0darts , timemachines
fbprophet_exogenous1599.0150yes76.9prophet , timemachines
tsa_aggressive_d0_ensemble1590.032yes152.2statsmodels , timemachines
bats_arma1588.010yes1601.2tbats , timemachines
tsa_balanced_combined_ensemble1588.015yes150.9statsmodels , timemachines
sk_theta1588.01200yes0.5sktime , timemachines
pmd_univariate1585.0905yes1.7pmdarima , timemachines
darts_four_theta1563.067yes1.2darts , timemachines
sk_ae_add_damped1561.01030yes6.6sktime , timemachines
balanced_ema_ensemble1554.01119yes0.0timemachines
sluggish_moving_average1553.01871yes0.0timemachines
tsa_quickly_hypocratic_d0_ensemble1547.061yes177.8statsmodels , timemachines
gk_basic_skater1544.01yes1501.2greykite , timemachines
tsa_slowly_hypocratic_d0_ensemble1544.052yes158.5statsmodels , timemachines
bats_damped_bc1533.011yes416.1tbats , timemachines
tsa_precision_theta_ensemble1521.01107yes2.4statsmodels , timemachines
tsa_balanced_theta_ensemble1511.01333yes3.3statsmodels , timemachines
nprophet_p5_hypocratic1485.0357yes30.8neuralprophet , timemachines
fbprophet_cautious1484.0139yes74.7prophet , timemachines
darts_exp_smoothing1477.071yes8.9darts , timemachines
fbprophet_univariate_univariate_hypocratic1465.086yes228.6prophet , timemachines
bats_damped1462.021yes377.0tbats , timemachines
bats_damped_arma_bc1455.014yes1610.6tbats , timemachines
rapidly_moving_average1454.01370yes0.0timemachines
darts_theta1454.033yes1.2darts , timemachines
fbprophet_exogenous_hypocratic1450.099yes79.6prophet , timemachines
pmd_exogenous_hypocratic1447.0890yes2.0pmdarima , timemachines
nprophet_p81445.0380yes30.5neuralprophet , timemachines
nprophet_p31429.0372yes31.2neuralprophet , timemachines
nprophet_p3_hypocratic1420.0425yes31.8neuralprophet , timemachines
quickly_moving_average1406.01742yes0.0timemachines
fbprophet_recursive1402.0148yes78.1prophet , timemachines
dlm_univariate_b1399.045no-1.0pydlm , timemachines
nprophet_p21397.0454yes30.8neuralprophet , timemachines
fbprophet_univariate1395.0180yes76.7prophet , timemachines
smdk_p5_d0_q3_n1000_aggressive1391.0588yes40.1simdkalman , timemachines
darts_fft1368.027yes0.7darts , timemachines
nprophet_p2_hypocratic1362.0384yes30.8neuralprophet , timemachines
darts_prophet1322.012yes72.9darts , timemachines
rvr_quickly_hypocratic1321.0892yes0.2river , timemachines
nprophet_p8_hypocratic1312.0476yes30.6neuralprophet , timemachines
nprophet_p11280.01044yes31.1neuralprophet , timemachines
nprophet_p51269.0508yes31.4neuralprophet , timemachines
fbprophet_exogenous_exogenous1209.086yes554.4prophet , timemachines
rvr_balanced_ensemble1207.0760yes0.2river , timemachines
fbprophet_known1189.0157yes76.3prophet , timemachines
nprophet_p1_hypocratic1142.0347yes30.4neuralprophet , timemachines
rvr_p1_d0_q01101.0660yes0.0river , timemachines
rvr_p2_d0_q01098.01508yes0.0river , timemachines
rvr_p5_d0_q01075.0942yes0.0river , timemachines
empirical_last_value1023.0965yes0.0timemachines
rvr_p8_d0_q0887.0566yes0.0river , timemachines