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Automatic Forecasting

Automatic forecasting tools search for the best parameters and select the best possible model for a series of time series. These tools are useful for large collections of univariate time series.
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
AutoARIMA✅✅✅✅
AutoETS✅✅✅✅
AutoCES✅✅✅✅
AutoTheta✅✅✅✅

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ARIMA Family

These models exploit the existing autocorrelations in the time series.
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
ARIMA✅✅✅✅
AutoRegressive✅✅✅✅

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Theta Family

Fit two theta lines to a deseasonalized time series, using different techniques to obtain and combine the two theta lines to produce the final forecasts.
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
Theta✅✅✅✅
OptimizedTheta✅✅✅✅
DynamicTheta✅✅✅✅
DynamicOptimizedTheta✅✅✅✅

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Multiple Seasonalities

Suited for signals with more than one clear seasonality. Useful for low-frequency data like electricity and logs.
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
MSTL✅✅✅✅

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GARCH and ARCH Models

Suited for modeling time series that exhibit non-constant volatility over time. The ARCH model is a particular case of GARCH.
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
GARCH✅✅✅✅
ARCH✅✅✅✅

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Baseline Models

Classical models for establishing baseline.
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
HistoricAverage✅✅✅✅
Naive✅✅✅✅
RandomWalkWithDrift✅✅✅✅
SeasonalNaive✅✅✅✅
WindowAverage✅
SeasonalWindowAverage✅

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Exponential Smoothing

Uses a weighted average of all past observations where the weights decrease exponentially into the past. Suitable for data with clear trend and/or seasonality. Use the SimpleExponential family for data with no clear trend or seasonality.
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
SimpleExponentialSmoothing✅
SimpleExponentialSmoothingOptimized✅
SeasonalExponentialSmoothing✅
SeasonalExponentialSmoothingOptimized✅
Holt✅✅✅✅
HoltWinters✅✅✅✅

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Sparse or Intermittent

Suited for series with very few non-zero observations
ModelPoint ForecastProbabilistic ForecastInsample fitted valuesProbabilistic fitted values
ADIDA✅
CrostonClassic✅
CrostonOptimized✅
CrostonSBA✅
IMAPA✅
TSB✅