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
sk_autoarima2049.036yes205.0sktime , timemachines
elo_faster_univariate_balanced_ensemble2005.0397yes22.7timemachines
tsa_aggressive_d0_ensemble1974.023yes279.8statsmodels , timemachines
elo_fastest_residual_balanced_ensemble1921.0518yes0.8timemachines
elo_faster_univariate_aggressive_ensemble1900.0507yes26.5timemachines
elo_faster_residual_balanced_ensemble1892.01116yes1.0timemachines
bats_trendy1892.011yes1504.4tbats , timemachines
tsa_p3_d0_q01892.0184yes108.1statsmodels , timemachines
tsa_balanced_d0_ensemble1871.013yes4780.3statsmodels , timemachines
thinking_slow_and_fast1870.0651yes0.1timemachines
elo_faster_residual_aggressive_ensemble1864.0582yes2.0timemachines
bats_damped1858.07yes1148.6tbats , timemachines
elo_fastest_univariate_precision_ensemble1851.0511yes1.3timemachines
elo_fastest_residual_precision_ensemble1838.0840yes2.0timemachines
tsa_p2_d0_q01821.0280yes64.6statsmodels , timemachines
thinking_fast_and_slow1820.0656yes0.1timemachines
tsa_p3_d0_q11818.095yes417.1statsmodels , timemachines
bats_trendy_bc1816.014yes846.4tbats , timemachines
tsa_aggressive_combined_ensemble1815.08yes1398.8statsmodels , timemachines
divine_univariate_hypocratic_fast1815.0119yes66.5divinity , timemachines
elo_fastest_residual_aggressive_ensemble1808.0822yes1.0timemachines
sk_ae_add1782.0682yes17.2sktime , timemachines
elo_faster_univariate_precision_ensemble1773.0420yes23.4timemachines
smdk_p5_d0_q3_n1000_aggressive1768.0332yes55.8simdkalman , timemachines
elo_fastest_univariate_aggressive_ensemble1766.0513yes1.8timemachines
slow_aggressive_ema_ensemble1757.0687yes0.1timemachines
smdk_p5_d0_q3_n10001753.0195yes114.7simdkalman , timemachines
quick_aggressive_ema_ensemble1752.0854yes0.2timemachines
tsa_precision_d0_ensemble1737.020yes230.4statsmodels , timemachines
tsa_p1_d0_q11735.0162yes73.9statsmodels , timemachines
aggressive_ema_ensemble1718.0713yes0.2timemachines
elo_fastest_univariate_balanced_ensemble1717.0616yes1.1timemachines
bats_arma1709.05yes3829.8tbats , timemachines
slow_precision_ema_ensemble1708.0552yes0.1timemachines
thinking_fast_and_fast1707.0576yes0.1timemachines
divine_univariate_hypocratic_slow1706.0107yes127.7divinity , timemachines
elo_faster_residual_precision_ensemble1706.0435yes0.9timemachines
dlm_univariate_a1704.064no-1.0pydlm , timemachines
bats_damped_arma_bc1703.07yes1556.6tbats , timemachines
quickly_moving_average1696.0976yes0.0timemachines
bats_bc1695.016yes1160.2tbats , timemachines
divine_univariate1685.0190yes61.8divinity , timemachines
rvr_quickly_hypocratic1682.0445no0.2river , timemachines
darts_autoarima1680.01yes498.6darts , timemachines
tsa_p1_d0_q01674.0415yes96.5statsmodels , timemachines
thinking_slow_and_slow1674.0722yes0.1timemachines
fbprophet_cautious_hypocratic1673.081yes86.4prophet , timemachines
fbprophet_cautious1668.0145yes76.8prophet , timemachines
tsa_quickly_hypocratic_d0_ensemble1665.037yes430.6statsmodels , timemachines
bats_damped_bc1663.07yes424.2tbats , timemachines
tsa_p2_d0_q11662.0137yes132.8statsmodels , timemachines
tsa_precision_combined_ensemble1646.09yes1860.2statsmodels , timemachines
quick_precision_ema_ensemble1638.0563yes0.1timemachines
precision_ema_ensemble1637.0644yes0.1timemachines
fbprophet_univariate1632.0139yes81.4prophet , timemachines
tsa_balanced_combined_ensemble1627.023yes1420.5statsmodels , timemachines
bats_trendy_arma_bc1624.07yes1365.1tbats , timemachines
balanced_ema_ensemble1621.0681yes0.3timemachines
darts_arima1620.014yes65.2darts , timemachines
sk_ae1619.0499yes16.0sktime , timemachines
slowly_moving_average1615.0942yes0.0timemachines
sk_ae_add_damped1610.0510yes66.0sktime , timemachines
orbit_lgt_1216000yes-0.5orbit-ml , timemachines
orbit_lgt_2416000yes-0.6orbit-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
fbprophet_chaser16000no-1.0prophet , timemachines
quick_balanced_ema_ensemble1598.0551yes0.1timemachines
fbprophet_exogenous1591.0156yes279.5prophet , timemachines
sluggish_moving_average1589.01122yes0.0timemachines
fbprophet_exogenous_hypocratic1586.096yes75.9prophet , timemachines
smdk_p5_d0_q3_n500_aggressive1578.0305yes27.7simdkalman , timemachines
tsa_aggressive_theta_ensemble1572.0505yes7.5statsmodels , timemachines
bats_trendy_arma1566.08yes895.0tbats , timemachines
bats_damped_arma1563.06yes1808.9tbats , timemachines
bats_arma_bc1554.06yes816.9tbats , timemachines
darts_exp_smoothing1551.02yes65.5darts , timemachines
tsa_precision_theta_ensemble1538.0545yes1.9statsmodels , timemachines
pmd_exogenous_hypocratic1536.0551yes27.9pmdarima , timemachines
darts_prophet1504.01yes90.2darts , timemachines
slow_balanced_ema_ensemble1501.0716yes0.1timemachines
tsa_balanced_theta_ensemble1497.0681yes4.4statsmodels , timemachines
fbprophet_univariate_hypocratic1492.094yes83.8prophet , timemachines
fbprophet_known1487.0141yes83.5prophet , timemachines
fbprophet_recursive1479.0145yes76.9prophet , timemachines
nprophet_p31463.0178yes28.4neuralprophet , timemachines
rvr_slowly_hypocratic1459.0269no0.2river , timemachines
bats_fast1458.018yes684.1tbats , timemachines
nprophet_p11456.0616yes98.2neuralprophet , timemachines
smdk_p5_d0_q3_n5001436.0634yes38.9simdkalman , timemachines
nprophet_p51435.0179yes70.8neuralprophet , timemachines
sk_theta1415.0581yes4.9sktime , timemachines
nprophet_p5_hypocratic1411.0209yes75.0neuralprophet , timemachines
nprophet_p21409.0225yes91.8neuralprophet , timemachines
nprophet_p1_hypocratic1397.0206yes31.0neuralprophet , timemachines
tsa_slowly_hypocratic_d0_ensemble1396.036yes166.5statsmodels , timemachines
darts_fft1349.02yes86.1darts , timemachines
nprophet_p81340.0201yes28.2neuralprophet , timemachines
pmd_univariate1324.0522yes11.6pmdarima , timemachines
dlm_univariate_b1298.063no-1.0pydlm , timemachines
nprophet_p3_hypocratic1286.0224yes73.1neuralprophet , timemachines
rvr_p8_d0_q01271.0272no0.0river , timemachines
rapidly_moving_average1246.0739yes0.0timemachines
rvr_balanced_ensemble1205.0367no0.2river , timemachines
fbprophet_exogenous_exogenous1180.092yes227.5prophet , timemachines
rvr_p1_d0_q01171.0348no0.0river , timemachines
rvr_p2_d0_q01165.0851no0.0river , timemachines
fbprophet_univariate_univariate_hypocratic1142.092yes296.7prophet , timemachines
nprophet_p2_hypocratic1121.0199yes127.0neuralprophet , timemachines
nprophet_p8_hypocratic1029.0230yes296.1neuralprophet , timemachines
empirical_last_value901.0582yes0.0timemachines
rvr_p5_d0_q0868.0507no0.0river , timemachines