Statistical vs. Deep Learning forecasting methods

• statsforecast

  58 3,540 8.9 Python

  Lightning ⚡️ fast forecasting with statistical and econometric models.

  

• tablespoon

  9 39 5.3 Python

  🥄✨Time-series Benchmark methods that are Simple and Probabilistic (by alexhallam)

I use my package https://github.com/alexhallam/tablespoon to generate naive forecasts then evaluate the crps of the naive vs the crps of the alternative method. This “skill score” approach is very good.

• InfluxDB

  www.influxdata.com sponsored

  Power Real-Time Data Analytics at Scale. Get real-time insights from all types of time series data with InfluxDB. Ingest, query, and analyze billions of data points in real-time with unbounded cardinality.

  

• ES-RNN-Pytorch

  1 11 10.0 Jupyter Notebook

  This is a work in progress Pytorch implementation of the recently proposed ES-RNN by Slawek Smyl, winner of the M4 competition

Hmmm. A bit strange there is already a M4 competition where a deep learning model won. I know because I reimplemented it as a toy version in python here: https://github.com/leanderloew/ES-RNN-Pytorch

It was actually very cool because the model was a melt of exponential smoothing and dl.

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