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_p1_d0_q02409.0384yes76.2statsmodels , timemachines
tsa_p2_d0_q12361.0138yes65.1statsmodels , timemachines
elo_faster_univariate_balanced_ensemble2298.0398yes63.8timemachines
pmd_exogenous_hypocratic2240.0565yes7.5pmdarima , timemachines
elo_faster_residual_balanced_ensemble2221.0408yes4.6timemachines
tsa_balanced_d0_ensemble2200.018yes154.6statsmodels , timemachines
elo_faster_residual_aggressive_ensemble2189.0358yes14.7timemachines
elo_faster_residual_precision_ensemble2141.0429yes6.2timemachines
elo_fastest_residual_precision_ensemble2140.0594yes2.8timemachines
tsa_p3_d0_q12132.0132yes142.5statsmodels , timemachines
elo_fastest_univariate_precision_ensemble2106.0856yes1.9timemachines
slowly_moving_average2102.0879yes0.0timemachines
divine_univariate2098.0139yes61.2divinity , timemachines
elo_faster_univariate_precision_ensemble2092.0521yes45.8timemachines
elo_fastest_residual_balanced_ensemble2085.0496yes0.9timemachines
sluggish_moving_average2072.0646yes0.1timemachines
elo_faster_univariate_aggressive_ensemble2056.0473yes61.6timemachines
tsa_aggressive_combined_ensemble2021.025yes451.3statsmodels , timemachines
rvr_quickly_hypocratic2019.0349no0.2river , timemachines
tsa_p2_d0_q02015.0109yes729.3statsmodels , timemachines
tsa_p1_d0_q12012.0215yes71.5statsmodels , timemachines
elo_fastest_univariate_balanced_ensemble2009.0594yes2.8timemachines
elo_fastest_univariate_aggressive_ensemble1985.0542yes1.7timemachines
thinking_fast_and_slow1967.0658yes0.3timemachines
tsa_p3_d0_q01959.0122yes82.8statsmodels , timemachines
elo_fastest_residual_aggressive_ensemble1945.0506yes2.4timemachines
rvr_slowly_hypocratic1930.0321no0.2river , timemachines
tsa_aggressive_d0_ensemble1909.016yes3262.6statsmodels , timemachines
aggressive_ema_ensemble1901.0655yes0.3timemachines
bats_arma1901.09yes1223.7tbats , timemachines
divine_univariate_hypocratic_fast1898.080yes201.1divinity , timemachines
bats_damped_arma_bc1897.08yes1087.7tbats , timemachines
slow_aggressive_ema_ensemble1882.0765yes0.5timemachines
tsa_precision_d0_ensemble1880.023yes161.2statsmodels , timemachines
thinking_slow_and_fast1871.0770yes0.3timemachines
tsa_precision_combined_ensemble1865.015yes3330.0statsmodels , timemachines
balanced_ema_ensemble1862.0587yes0.3timemachines
precision_ema_ensemble1860.0689yes0.3timemachines
thinking_slow_and_slow1852.0645yes0.4timemachines
divine_univariate_hypocratic_slow1843.088yes72.9divinity , timemachines
tsa_balanced_combined_ensemble1836.016yes2813.5statsmodels , timemachines
pmd_univariate1834.0508yes10.6pmdarima , timemachines
slow_precision_ema_ensemble1830.0598yes0.7timemachines
quick_precision_ema_ensemble1825.0740yes0.8timemachines
tsa_balanced_theta_ensemble1817.0496yes2.7statsmodels , timemachines
sk_autoarima1808.052yes128.4sktime , timemachines
bats_bc1775.020yes1040.2tbats , timemachines
sk_ae_add_damped1759.0651yes7.5sktime , timemachines
sk_ae_add1758.01099yes14.3sktime , timemachines
darts_autoarima1755.01yes169.9darts , timemachines
slow_balanced_ema_ensemble1749.0589yes0.6timemachines
fbprophet_recursive1734.0109yes78.3prophet , timemachines
dlm_univariate_a1727.017no-1.0pydlm , timemachines
sk_ae1712.0684yes17.9sktime , timemachines
bats_fast1696.07yes993.1tbats , timemachines
tsa_slowly_hypocratic_d0_ensemble1686.029yes1801.7statsmodels , timemachines
quick_balanced_ema_ensemble1683.0614yes1.1timemachines
tsa_precision_theta_ensemble1668.0519yes6.5statsmodels , timemachines
bats_damped1660.06yes852.0tbats , timemachines
quick_aggressive_ema_ensemble1655.0799yes0.5timemachines
quickly_moving_average1648.0939yes0.1timemachines
darts_fft1633.01yes74.8darts , timemachines
bats_trendy_arma1619.04no778.0tbats , timemachines
rvr_p1_d0_q01618.0484no0.0river , timemachines
bats_arma_bc1607.019yes1333.8tbats , timemachines
fbprophet_univariate1604.0109yes77.4prophet , timemachines
orbit_lgt_1216000yes-0.7orbit-ml , timemachines
orbit_lgt_2416000yes-0.8orbit-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-1.0sktime , timemachines
rvr_p3_d0_q016000no-1.0river , timemachines
rvr_aggressive_ensemble16000no-1.0river , timemachines
sk_theta1596.0577yes1.4sktime , timemachines
tsa_aggressive_theta_ensemble1594.0879yes10.3statsmodels , timemachines
bats_trendy_bc1570.017yes1708.3tbats , timemachines
fbprophet_exogenous1554.0103yes82.1prophet , timemachines
darts_prophet1544.01yes154.8darts , timemachines
dlm_univariate_b1543.025no-1.0pydlm , timemachines
fbprophet_known1525.0113yes78.7prophet , timemachines
bats_trendy1508.016yes751.5tbats , timemachines
rvr_p2_d0_q01497.0390no0.0river , timemachines
bats_damped_bc1491.08yes972.8tbats , timemachines
tsa_quickly_hypocratic_d0_ensemble1489.033yes135.6statsmodels , timemachines
rvr_balanced_ensemble1475.0424no0.2river , timemachines
darts_exp_smoothing1470.02yes42.4darts , timemachines
bats_trendy_arma_bc1467.012yes2451.6tbats , timemachines
fbprophet_cautious1456.0101yes268.1prophet , timemachines
fbprophet_exogenous_hypocratic1454.0104yes77.9prophet , timemachines
darts_arima1438.015yes59.4darts , timemachines
rapidly_moving_average1344.0615yes0.1timemachines
fbprophet_cautious_hypocratic1327.064yes77.5prophet , timemachines
rvr_p8_d0_q01312.0371no0.0river , timemachines
bats_damped_arma1308.09yes1426.8tbats , timemachines
thinking_fast_and_fast1203.0663yes0.1timemachines
rvr_p5_d0_q01154.0282no0.0river , timemachines
fbprophet_univariate_hypocratic1152.0113yes83.0prophet , timemachines
smdk_p5_d0_q3_n10001065.05yes114.1simdkalman , timemachines
fbprophet_univariate_univariate_hypocratic990.0103yes266.9prophet , timemachines
empirical_last_value928.0509yes0.0timemachines
fbprophet_exogenous_exogenous893.0104yes229.5prophet , timemachines
nprophet_p2749.0113yes242.0neuralprophet , timemachines
nprophet_p3_hypocratic702.0169yes63.4neuralprophet , timemachines
nprophet_p8663.0191yes150.0neuralprophet , timemachines
smdk_p5_d0_q3_n1000_aggressive587.012yes137.6simdkalman , timemachines
nprophet_p1_hypocratic582.0147yes67.1neuralprophet , timemachines
nprophet_p3559.0190yes233.6neuralprophet , timemachines
nprophet_p8_hypocratic534.0136yes61.3neuralprophet , timemachines
nprophet_p5_hypocratic516.0260yes61.6neuralprophet , timemachines
nprophet_p5512.0178yes36.9neuralprophet , timemachines
nprophet_p1501.0160yes175.9neuralprophet , timemachines
nprophet_p2_hypocratic489.0144yes171.5neuralprophet , timemachines
smdk_p5_d0_q3_n500_aggressive361.026yes197.8simdkalman , timemachines
smdk_p5_d0_q3_n50032.0111yes61.0simdkalman , timemachines