Time Series Made Easy in Python: DARTS

Darts is a Python library for user-friendly forecasting and anomaly detection on time series. It contains a variety of models, from classics such as ARIMA to deep neural networks.

Some of the key features of Darts include:

  • A simple and intuitive interface for defining and fitting models
  • Support for different types of time series data, including univariate, multivariate, and panel data
  • A wide range of built-in models, including ARIMA, Exponential Smoothing, Prophet, LSTM, and TCN
  • Tools for hyperparameter tuning and model selection, such as cross-validation and grid search
  • Visualization tools for exploring and analyzing time series data and model outputs

Library

ModelUnivariateMultivariateProbabilisticMultiple series (global)Past-observed covariatesFuture-known covariatesStatic covariatesReference
ARIMA✅✅✅
VARIMA✅✅✅
AutoARIMA✅✅
StatsForecastAutoARIMA (faster AutoARIMA)✅✅✅Nixtla’s statsforecast
ExponentialSmoothing✅✅
StatsForecastETS✅✅Nixtla’s statsforecast
BATS and TBATS✅✅TBATS paper
Theta and FourTheta✅Theta & 4 Theta
Prophet (see install notes)✅✅✅Prophet repo
FFT (Fast Fourier Transform)✅
KalmanForecaster using the Kalman filter and N4SID for system identification✅✅✅✅N4SID paper
Croston method✅
RegressionModel; generic wrapper around any sklearn regression model✅✅✅✅✅✅
RandomForest✅✅✅✅✅✅
LinearRegressionModel✅✅✅✅✅✅✅
LightGBMModel✅✅✅✅✅✅✅
CatBoostModel✅✅✅✅✅✅✅
XGBModel✅✅✅✅✅✅✅
RNNModel (incl. LSTM and GRU); equivalent to DeepAR in its probabilistic version✅✅✅✅✅DeepAR paper
BlockRNNModel (incl. LSTM and GRU)✅✅✅✅✅
NBEATSModel✅✅✅✅✅N-BEATS paper
NHiTSModel✅✅✅✅✅N-HiTS paper
TCNModel✅✅✅✅✅TCN paper, DeepTCN paper, blog post
TransformerModel✅✅✅✅✅
TFTModel (Temporal Fusion Transformer)✅✅✅✅✅✅✅TFT paper, PyTorch Forecasting
DLinearModel✅✅✅✅✅✅✅DLinear paper
NLinearModel✅✅✅✅✅✅✅NLinear paper
Naive Baselines✅✅