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Time Series Forecasting and Deep Learning

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List of research papers focus on time series forecasting and deep learning, as well as other resources like competitions, datasets, courses, blogs, code, etc.

Table of Contents

Applications

  • TimeGPT

    • Nixtla’s TimeGPT is a generative pre-trained forecasting model for time series data.

Benchmarks

Papers

2024

2023

2022

2021

2020

2019

2018

2017

Blogs

Competitions

Courses

Libraries

  • aeon

    • aeon is an open-source toolkit for learning from time series.

  • arch

    • Autoregressive Conditional Heteroskedasticity (ARCH) and other tools for financial econometrics, written in Python (with Cython and/or Numba used to improve performance)

  • AutoGP.jl

    • A Julia package for learning the covariance structure of Gaussian process time series models.

  • AutoTS

    • AutoTS is a time series package for Python designed for rapidly deploying high-accuracy forecasts at scale.

  • BasicTS

    • BasicTS (Basic Time Series) is a PyTorch-based benchmark and toolbox for time series forecasting (TSF).

  • Beibo

    • Beibo is a Python library that uses several AI prediction models to predict stocks returns over a defined period of time.

  • Cesium

    • Cesium is an end-to-end machine learning platform for time-series, from calculation of features to model-building to predictions.

  • Darts

    • Darts is a Python library for easy manipulation and forecasting of time series.

  • DeepOD

    • DeepOD is an open-source python framework for deep learning-based anomaly detection on multivariate data.

  • Flow Forecast

    • Flow Forecast is a deep learning PyTorch library for time series forecasting, classification, and anomaly detection.

  • functime

    • functime is a powerful Python library for production-ready global forecasting and time-series feature extraction on large panel datasets.

  • GluonTS

    • GluonTS is a Python package for probabilistic time series modeling, focusing on deep learning based models.

  • Greykite

    • The Greykite library provides flexible, intuitive and fast forecasts through its flagship algorithm, Silverkite.

  • HyperTS

    • A Full-Pipeline Automated Time Series (AutoTS) Analysis Toolkit.

  • Kats

    • Kats is a toolkit to analyze time series data, a lightweight, easy-to-use, and generalizable framework to perform time series analysis.

  • Luminaire

    • Luminaire is a python package that provides ML-driven solutions for monitoring time series data.

  • MAPIE

    • A scikit-learn-compatible module for estimating prediction intervals.

  • Merlion

    • Merlion is a Python library for time series intelligence. It provides an end-to-end machine learning framework that includes loading and transforming data, building and training models, post-processing model outputs, and evaluating model performance.

  • MM-TSFlib

    • MM-TSFlib is an open-source library for multimodal time-series forecasting based on Time-MMD dataset.

  • NeuralForecast

    • NeuralForecast is a Python library for time series forecasting with deep learning models.

  • NeuralProphet

    • NeuralProphet is an easy to learn framework for interpretable time series forecasting. NeuralProphet is built on PyTorch and combines Neural Network and traditional time-series algorithms, inspired by Facebook Prophet and AR-Net.

  • Orbit

    • Orbit is a Python package for Bayesian time series forecasting and inference.

  • PaddleTS

    • PaddlePaddle-based Time Series Modeling in Python.

  • Pandas TA

    • Pandas Technical Analysis (Pandas TA) is an easy to use library that leverages the Pandas package with more than 130 Indicators and Utility functions and more than 60 TA Lib Candlestick Patterns.

  • pmdarima

    • A statistical library designed to fill the void in Python's time series analysis capabilities, including the equivalent of R's auto.arima function.

  • Prophet

    • Prophet is a forecasting procedure implemented in R and Python. It is fast and provides completely automated forecasts that can be tuned by hand by data scientists and analysts.

  • Puncc

    • Puncc is a python library for predictive uncertainty quantification using conformal prediction.

  • PyBATS

    • PyBATS is a package for Bayesian time series modeling and forecasting.

  • PyDaddy

    • A Python package to discover stochastic differential equations from time series data.

  • PyDMD: Python Dynamic Mode Decomposition

    • PyDMD is a Python package that uses Dynamic Mode Decomposition for a data-driven model simplification based on spatiotemporal coherent structures.

  • pyFTS

    • An open source library for Fuzzy Time Series in Python.

  • PyPOTS

    • A Python Toolbox for Data Mining on Partially-Observed Time Series.

  • Python Outlier Detection (PyOD)

    • PyOD is a comprehensive and scalable Python library for outlier detection (anomaly detection)

  • PyTorch Forecasting

    • PyTorch Forecasting is a PyTorch-based package for forecasting time series with state-of-the-art network architectures.

  • PyTorchTS

    • PyTorchTS is a PyTorch Probabilistic Time Series forecasting framework which provides state of the art PyTorch time series models by utilizing GluonTS as its back-end API and for loading, transforming and back-testing time series data sets.

  • pytrendseries

    • pytrendseries is a Python library for detection of trends in time series like: stock prices, monthly sales, daily temperature of a city and so on.

  • pyts

    • pyts is a Python package dedicated to time series classification.

  • Qlib

    • Qlib is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment.

  • RQAlpha

    • A extendable, replaceable Python algorithmic backtest & trading framework supporting multiple securities.

  • Scalecast

    • The pratictioner's forecasting library. Including automated model selection, model optimization, pipelines, visualization, and reporting.

  • sequitur

    • sequitur is a library that lets you create and train an autoencoder for sequential data in just two lines of code.

  • skforecast

    • Skforecast is a Python library that eases using scikit-learn regressors as single and multi-step forecasters. It also works with any regressor compatible with the scikit-learn API (LightGBM, XGBoost, CatBoost, ...).

  • sktime

    • sktime is a library for time series analysis in Python. It provides a unified interface for multiple time series learning tasks.

  • StatsForecast

    • StatsForecast offers a collection of popular univariate time series forecasting models optimized for high performance and scalability.

  • stumpy

    • STUMPY is a powerful and scalable Python library for modern time series analysis.

  • TFTS

    • TFTS (TensorFlow Time Series) is an easy-to-use python package for time series, supporting the classical and SOTA deep learning methods in TensorFlow or Keras.

  • tft-torch

  • TimeEval

    • TimeEval is an evaluation tool for time series anomaly detection algorithms.

  • Time Interpret (tint)

    • This library expands the Captum library with a specific focus on time-series.

  • Time Series Library (TSlib)

    • TSlib is an open-source library for deep learning researchers, especially deep time series analysis.

  • TODS

    • TODS is a full-stack automated machine learning system for outlier detection on multivariate time-series data.

  • transdim

    • Machine learning for transportation data imputation and prediction.

  • tsai

    • tsai is an open-source deep learning package built on top of Pytorch & fastai focused on state-of-the-art techniques for time series tasks like classification, regression, forecasting, imputation...

  • tsam

    • tsam is a python package which uses different machine learning algorithms for the aggregation of time series.

  • tsaug

    • tsaug is a Python package for time series augmentation.

  • TSDB

    • A Python Toolbox to Ease Loading Open-Source Time-Series Datasets.

  • tsfeatures

    • Calculates various features from time series data. Python implementation of the R package tsfeatures.

  • TSFEL

    • Time Series Feature Extraction Library (TSFEL for short) is a Python package for feature extraction on time series data.

  • tsfresh

    • tsfresh provides systematic time-series feature extraction by combining established algorithms from statistics, time-series analysis, signal processing, and nonlinear dynamics with a robust feature selection algorithm.

  • tslearn

    • tslearn is a Python package that provides machine learning tools for the analysis of time series.

  • tspiral

    • A python package for time series forecasting with scikit-learn estimators.

Datasets

Books

  • Forecasting: Principles and Practice (3rd ed)

    • Rob J Hyndman and George Athanasopoulos, 2021

    • This textbook is intended to provide a comprehensive introduction to forecasting methods and to present enough information about each method for readers to be able to use them sensibly.

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Resources about time series forecasting and deep learning.

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data-science machine-learning deep-learning time-series forecasting series-data series-forecasting time-series-forecasting

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