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_aggressive_combined_ensemble2090.013yes1194.5statsmodels , timemachines
tsa_p3_d0_q01993.0181yes246.7statsmodels , timemachines
elo_fastest_residual_balanced_ensemble1969.0697yes1.0timemachines
slow_aggressive_ema_ensemble1937.0785yes0.2timemachines
smdk_p5_d0_q3_n5001911.0404yes17.5simdkalman , timemachines
thinking_slow_and_fast1910.0656yes0.1timemachines
tsa_p3_d0_q11899.0118yes74.3statsmodels , timemachines
elo_faster_residual_precision_ensemble1892.0314yes0.9timemachines
elo_fastest_univariate_balanced_ensemble1878.0625yes1.7timemachines
tsa_p2_d0_q11875.0136yes65.6statsmodels , timemachines
elo_faster_univariate_aggressive_ensemble1866.0588yes15.3timemachines
thinking_fast_and_slow1864.0743yes0.0timemachines
tsa_quickly_hypocratic_d0_ensemble1857.031yes2888.1statsmodels , timemachines
sk_autoarima1856.024yes934.8sktime , timemachines
tsa_p1_d0_q11853.0300yes64.7statsmodels , timemachines
bats_trendy_arma_bc1843.010yes1298.0tbats , timemachines
smdk_p5_d0_q3_n10001835.0138yes94.5simdkalman , timemachines
bats_damped_bc1832.07yes832.3tbats , timemachines
divine_univariate_hypocratic_slow1830.0106yes73.9divinity , timemachines
elo_faster_univariate_balanced_ensemble1821.0484yes18.4timemachines
tsa_balanced_d0_ensemble1815.011yes2851.5statsmodels , timemachines
elo_faster_univariate_precision_ensemble1814.0413yes10.7timemachines
dlm_univariate_a1801.069no-1.0pydlm , timemachines
quick_precision_ema_ensemble1793.0560yes0.1timemachines
divine_univariate1791.0192yes103.1divinity , timemachines
thinking_slow_and_slow1784.0750yes0.1timemachines
tsa_p2_d0_q01780.0333yes1622.6statsmodels , timemachines
elo_faster_residual_aggressive_ensemble1780.0362yes0.9timemachines
bats_trendy1776.019yes820.8tbats , timemachines
divine_univariate_hypocratic_fast1773.0130yes72.2divinity , timemachines
bats_trendy_arma1773.07no1348.9tbats , timemachines
bats_trendy_bc1772.019yes827.0tbats , timemachines
bats_damped_arma_bc1768.04yes1182.8tbats , timemachines
quickly_moving_average1767.01074yes0.0timemachines
tsa_precision_d0_ensemble1762.018yes538.9statsmodels , timemachines
smdk_p5_d0_q3_n500_aggressive1757.0205yes79.4simdkalman , timemachines
elo_faster_residual_balanced_ensemble1754.0818yes1.2timemachines
slowly_moving_average1751.0872yes0.0timemachines
pmd_exogenous_hypocratic1745.0574yes6.9pmdarima , timemachines
rvr_slowly_hypocratic1742.0296no0.2river , timemachines
elo_fastest_univariate_precision_ensemble1738.0503yes1.1timemachines
smdk_p5_d0_q3_n1000_aggressive1719.0105yes36.3simdkalman , timemachines
bats_fast1718.027yes799.8tbats , timemachines
tsa_p1_d0_q01718.0439yes20.0statsmodels , timemachines
sk_ae1718.0487yes19.5sktime , timemachines
bats_arma1714.07yes1059.1tbats , timemachines
sluggish_moving_average1705.01034yes0.0timemachines
bats_arma_bc1701.09yes1003.8tbats , timemachines
slow_precision_ema_ensemble1700.0584yes0.2timemachines
quick_aggressive_ema_ensemble1694.0906yes0.2timemachines
elo_fastest_residual_precision_ensemble1678.0867yes1.8timemachines
precision_ema_ensemble1677.0703yes0.1timemachines
rvr_quickly_hypocratic1676.0415no0.2river , timemachines
quick_balanced_ema_ensemble1675.0639yes0.2timemachines
pmd_univariate1672.0483yes6.7pmdarima , timemachines
fbprophet_cautious1653.0134yes93.7prophet , timemachines
darts_arima1650.02yes47.8darts , timemachines
elo_fastest_residual_aggressive_ensemble1644.0776yes1.2timemachines
tsa_precision_theta_ensemble1642.0545yes4.6statsmodels , timemachines
sk_ae_add1631.0646yes11.3sktime , timemachines
elo_fastest_univariate_aggressive_ensemble1629.0480yes1.2timemachines
bats_damped1623.010yes1515.8tbats , timemachines
tsa_balanced_theta_ensemble1615.0688yes6.0statsmodels , timemachines
orbit_lgt_1216000yes-0.4orbit-ml , timemachines
orbit_lgt_2416000yes-0.5orbit-ml , timemachines
darts_four_theta16000yes-0.3darts , 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-0.2sktime , 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
bats_damped_arma1597.07yes862.8tbats , timemachines
slow_balanced_ema_ensemble1597.0746yes0.2timemachines
sk_ae_add_damped1595.0487yes15.9sktime , timemachines
tsa_precision_combined_ensemble1585.09yes3194.7statsmodels , timemachines
fbprophet_univariate_hypocratic1566.089no-1.0prophet , timemachines
balanced_ema_ensemble1565.0618yes0.1timemachines
darts_fft1563.07yes78.4darts , timemachines
fbprophet_exogenous_hypocratic1555.086yes76.9prophet , timemachines
aggressive_ema_ensemble1547.0711yes0.1timemachines
darts_autoarima1539.01yes180.4darts , timemachines
darts_prophet1537.01yes139.4darts , timemachines
fbprophet_cautious_hypocratic1527.062yes77.9prophet , timemachines
sk_theta1501.0605yes1.6sktime , timemachines
tsa_slowly_hypocratic_d0_ensemble1495.035yes264.8statsmodels , timemachines
tsa_balanced_combined_ensemble1485.08yes3601.7statsmodels , timemachines
fbprophet_univariate1473.0124yes77.4prophet , timemachines
fbprophet_recursive1444.0153yes77.4prophet , timemachines
bats_bc1442.021yes708.0tbats , timemachines
thinking_fast_and_fast1441.0580yes0.1timemachines
fbprophet_known1418.0158yes188.2prophet , timemachines
tsa_aggressive_theta_ensemble1408.0549yes6.3statsmodels , timemachines
darts_exp_smoothing1394.07yes41.6darts , timemachines
tsa_aggressive_d0_ensemble1371.014yes412.7statsmodels , timemachines
nprophet_p81368.0213yes71.7neuralprophet , timemachines
nprophet_p21354.0227yes251.7neuralprophet , timemachines
dlm_univariate_b1319.049no-1.0pydlm , timemachines
fbprophet_exogenous1315.0157yes75.0prophet , timemachines
rvr_balanced_ensemble1264.0378no0.2river , timemachines
rvr_p1_d0_q01256.0340no0.0river , timemachines
nprophet_p31233.0163yes91.3neuralprophet , timemachines
nprophet_p3_hypocratic1217.0236yes251.9neuralprophet , timemachines
nprophet_p2_hypocratic1209.0176yes120.0neuralprophet , timemachines
rvr_p5_d0_q01209.0494no0.0river , timemachines
nprophet_p1_hypocratic1198.0218yes72.9neuralprophet , timemachines
rvr_p8_d0_q01163.0309no0.0river , timemachines
nprophet_p11115.0405yes108.2neuralprophet , timemachines
fbprophet_univariate_univariate_hypocratic1097.089yes785.6prophet , timemachines
nprophet_p51091.0227yes75.0neuralprophet , timemachines
rapidly_moving_average1060.0734yes0.0timemachines
rvr_p2_d0_q01048.0773no0.0river , timemachines
nprophet_p8_hypocratic1044.0201yes69.9neuralprophet , timemachines
fbprophet_exogenous_exogenous1039.083yes295.7prophet , timemachines
nprophet_p5_hypocratic949.0181yes75.9neuralprophet , timemachines
empirical_last_value883.0600yes0.0timemachines