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_p2_d0_q12216.099yes1060.2statsmodels , timemachines
tsa_p3_d0_q02185.0132yes61.5statsmodels , timemachines
elo_fastest_residual_balanced_ensemble2165.0555yes1.2timemachines
elo_faster_residual_precision_ensemble2087.0423yes4.3timemachines
tsa_aggressive_combined_ensemble2076.022yes146.6statsmodels , timemachines
elo_faster_residual_balanced_ensemble2063.0425yes8.0timemachines
sluggish_moving_average2062.0598yes0.0timemachines
tsa_balanced_combined_ensemble2054.025yes917.5statsmodels , timemachines
precision_ema_ensemble2047.0632yes0.2timemachines
elo_faster_univariate_precision_ensemble2047.0374yes94.8timemachines
elo_faster_univariate_balanced_ensemble2046.0435yes25.3timemachines
rvr_quickly_hypocratic2044.0323no0.2river , timemachines
tsa_balanced_d0_ensemble2038.020yes406.0statsmodels , timemachines
tsa_p3_d0_q12015.094yes90.0statsmodels , timemachines
tsa_p1_d0_q02009.0355yes32.6statsmodels , timemachines
tsa_slowly_hypocratic_d0_ensemble1976.050yes264.5statsmodels , timemachines
tsa_aggressive_d0_ensemble1973.018yes196.6statsmodels , timemachines
tsa_p2_d0_q01970.0318yes14.9statsmodels , timemachines
elo_fastest_univariate_aggressive_ensemble1957.0559yes1.3timemachines
thinking_slow_and_slow1943.0746yes0.2timemachines
pmd_exogenous_hypocratic1941.0541yes38.6pmdarima , timemachines
thinking_slow_and_fast1938.0793yes0.2timemachines
elo_fastest_residual_aggressive_ensemble1937.0472yes1.3timemachines
elo_fastest_residual_precision_ensemble1926.0661yes1.4timemachines
balanced_ema_ensemble1925.0612yes0.2timemachines
bats_damped1923.05yes790.6tbats , timemachines
elo_fastest_univariate_precision_ensemble1916.0797yes1.0timemachines
tsa_precision_d0_ensemble1906.017yes316.7statsmodels , timemachines
slowly_moving_average1906.0869yes0.0timemachines
bats_fast1902.015yes1055.1tbats , timemachines
elo_faster_residual_aggressive_ensemble1899.0320yes42.4timemachines
tsa_p1_d0_q11894.0179yes157.8statsmodels , timemachines
sk_autoarima1888.025yes748.9sktime , timemachines
slow_precision_ema_ensemble1875.0581yes0.4timemachines
divine_univariate_hypocratic_fast1857.0109yes60.4divinity , timemachines
bats_arma_bc1856.08yes1284.2tbats , timemachines
thinking_fast_and_slow1845.0679yes0.1timemachines
slow_aggressive_ema_ensemble1828.0892yes0.3timemachines
pmd_univariate1809.0482yes5.9pmdarima , timemachines
tsa_aggressive_theta_ensemble1808.0811yes4.7statsmodels , timemachines
elo_faster_univariate_aggressive_ensemble1802.0358yes66.8timemachines
bats_damped_bc1802.014yes853.6tbats , timemachines
elo_fastest_univariate_balanced_ensemble1800.0560yes1.1timemachines
rvr_slowly_hypocratic1797.0296no0.2river , timemachines
divine_univariate1790.0151yes292.6divinity , timemachines
bats_trendy_bc1774.016yes854.0tbats , timemachines
quick_aggressive_ema_ensemble1770.0758yes1.0timemachines
bats_bc1770.012yes749.8tbats , timemachines
slow_balanced_ema_ensemble1768.0640yes0.2timemachines
tsa_precision_combined_ensemble1767.015yes217.1statsmodels , timemachines
divine_univariate_hypocratic_slow1754.073yes65.5divinity , timemachines
aggressive_ema_ensemble1745.0586yes0.2timemachines
bats_arma1743.04yes1095.3tbats , timemachines
sk_ae_add1734.0984yes14.0sktime , timemachines
bats_damped_arma_bc1731.07yes1819.6tbats , timemachines
dlm_univariate_a1720.020no-1.0pydlm , timemachines
tsa_quickly_hypocratic_d0_ensemble1718.030yes160.5statsmodels , timemachines
bats_trendy_arma1713.07yes1069.8tbats , timemachines
tsa_precision_theta_ensemble1712.0537yes9.1statsmodels , timemachines
quick_balanced_ema_ensemble1689.0617yes0.4timemachines
bats_trendy_arma_bc1667.06yes1041.8tbats , timemachines
bats_damped_arma1662.07yes1152.5tbats , timemachines
darts_arima1634.08yes49.8darts , timemachines
quick_precision_ema_ensemble1632.0854yes0.5timemachines
rapidly_moving_average1621.0707yes0.1timemachines
darts_autoarima1617.03yes235.8darts , timemachines
rvr_balanced_ensemble1616.0410no0.2river , timemachines
orbit_lgt_1216000yes-0.5orbit-ml , timemachines
orbit_lgt_2416000yes-0.6orbit-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_mul16000no-0.1sktime , timemachines
sk_ae_mul_damped16000no-0.1sktime , timemachines
rvr_p3_d0_q016000no-1.0river , timemachines
rvr_aggressive_ensemble16000no-1.0river , timemachines
fbprophet_cautious_hypocratic1590.083yes191.7prophet , timemachines
fbprophet_recursive1584.092yes77.4prophet , timemachines
darts_ExponentialSmoothing_skater1579.02no16.3darts , timemachines
fbprophet_cautious1567.098yes96.0prophet , timemachines
sk_ae1566.0623yes14.9sktime , timemachines
tsa_balanced_theta_ensemble1535.0503yes8.2statsmodels , timemachines
dlm_univariate_b1530.015no-1.0pydlm , timemachines
quickly_moving_average1527.0982yes0.0timemachines
sk_theta1518.0641yes2.3sktime , timemachines
darts_exp_smoothing1496.014yes41.4darts , timemachines
darts_prophet1478.01yes99.8darts , timemachines
fbprophet_exogenous1440.0106yes86.2prophet , timemachines
sk_ae_add_damped1417.0716yes15.7sktime , timemachines
thinking_fast_and_fast1407.0673yes0.2timemachines
fbprophet_exogenous_hypocratic1405.0112yes117.3prophet , timemachines
darts_fft1359.06yes7.2darts , timemachines
fbprophet_univariate1358.0114yes96.3prophet , timemachines
rvr_p1_d0_q01342.0481no0.0river , timemachines
bats_trendy1332.012yes1119.8tbats , timemachines
fbprophet_known1295.099yes98.6prophet , timemachines
fbprophet_univariate_hypocratic1291.0113yes106.2prophet , timemachines
rvr_p2_d0_q01212.0425no0.0river , timemachines
rvr_p8_d0_q01157.0325no0.0river , timemachines
rvr_p5_d0_q01150.0298no0.0river , timemachines
fbprophet_univariate_univariate_hypocratic988.0101yes297.8prophet , timemachines
fbprophet_exogenous_exogenous968.094yes305.2prophet , timemachines
empirical_last_value920.0609yes0.1timemachines
nprophet_p3916.0236yes173.9neuralprophet , timemachines
nprophet_p5_hypocratic911.0202yes33.7neuralprophet , timemachines
nprophet_p1_hypocratic903.0176yes184.8neuralprophet , timemachines
nprophet_p3_hypocratic893.0162yes171.1neuralprophet , timemachines
nprophet_p5863.0175yes149.4neuralprophet , timemachines
nprophet_p8861.0177yes35.4neuralprophet , timemachines
nprophet_p1844.0149yes188.7neuralprophet , timemachines
nprophet_p8_hypocratic843.0178yes335.4neuralprophet , timemachines
nprophet_p2750.0157yes148.9neuralprophet , timemachines
smdk_p5_d0_q3_n1000_aggressive741.012yes81.8simdkalman , timemachines
smdk_p5_d0_q3_n1000735.012yes70.1simdkalman , timemachines
nprophet_p2_hypocratic729.0153yes186.6neuralprophet , timemachines
smdk_p5_d0_q3_n500230.0177yes36.8simdkalman , timemachines
smdk_p5_d0_q3_n500_aggressive-39.0111yes106.9simdkalman , timemachines