(Deep) Non-Parametric Time Series Forecaster

If you read The History of Amazon’s Forecasting Algorithm, you’ll hear about fantastic models such as Quantile Random Forests, and the MQTransformer. In GluonTS you’ll find DeepAR and DeepVARHierarchical. But the real hero is the simple model that does the work when all else fails. Tim Januschowski on Linkedin:

One of the baselines that we’ve developed over the years is the non-parametric forecaster or NPTS for short. Jan Gasthaus invented it probably a decade ago and Valentin Flunkert made it seasonality aware and to the best of my knowledge it’s been re-written a number of times and still runs for #amazon retail (when other surrounding systems were switched off long ago).

Januschowski mentions this to celebrate the Arxiv paper describing NPTS and its DeepNPTS variant with additional “bells and whistles”. Which I celebrate as I no longer have to refer people to section 4.3 of the GluonTS paper.