Package 'utsf'

Create a ggplot object from an utsf object

Description

Plot the time series and its associated forecast.

Usage

## S3 method for class 'utsf'
autoplot(object, ...)

Arguments

object	An object of class utsf.
...	additional parameter.

Value

The ggplot object representing a plotting of the time series and its forecast.

Examples

f <- forecast(AirPassengers, h = 12, lags = 1:12, method = "rf")
library(ggplot2)
autoplot(f)

---

Build the training examples

Description

Build the training examples for a regressive model to forecast a time series using lagged values of the series as autoregressive features.

Usage

build_examples(timeS, lags)

Arguments

timeS	The time series.
lags	An integer vector with the lags used as feature vector in decreasing order.

Value

A list with two fields: 1) a matrix with the features of the examples and 2) a vector with the targets of the examples

Examples

build_examples(ts(1:5), lags = 2:1)

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Specifying the order of differences

Description

This function is used to specify that the time series will be preprocessed using first differences.

Usage

differences(n = -1)

Arguments

n	An integer specifying the order of differences to be applied. If the default (-1) is used, the order of differences needed by the time series will be computed by the forecast::ndiffs() function.

Value

An integer with the order of differences to be applied.

Examples

differences(1)

---

Specify the way in which the estimation of forecast accuracy is done

Description

Specify the way in which the estimation of forecast accuracy is done

Usage

evaluation(type = "normal", size = NULL, prop = NULL)

Arguments

type	A string. Possible values are "normal" (the default) and "minimum". See the vignette for an explanation of both ways of evaluating forecast accuracy.
size	An integer. It is the size of the test set (how many of the last observations of the time series are used as training set). It can only be used when the type parameter is "normal".
prop	A numeric value in the range (0, 1). It is the proportion of the time series used as test set. It can only be used when the type parameter is "normal".

Value

An S3 object of class evaluation with the chosen evaluation.

Examples

evaluation("normal", size = 10)

---

Train an univariate time series forecasting model and make forecasts

Description

This function trains a model from the historical values of a time series using an autoregressive approach: the targets are the historical values and the features of the targets their lagged values. Then, the trained model is used to predict the future values of the series using a recursive strategy.

Usage

forecast(
  timeS,
  h,
  lags = NULL,
  method = "knn",
  param = NULL,
  efa = NULL,
  tuneGrid = NULL,
  preProcess = list("additive")
)

Arguments

timeS	A time series of class ts or a numeric vector.
h	A positive integer. Number of values to be forecast into the future, i.e., forecast horizon.
lags	An integer vector, in increasing order, expressing the lags used as autoregressive variables. If the default value (NULL) is provided, a suitable vector is chosen.
method	A string indicating the method used for training and forecasting. Allowed values are: "knn": k-nearest neighbors (the default) "rt": regression trees "mt": model trees "bagging" "rf": random forest. See details for a brief explanation of the models. It is also possible to use your own regression model, in that case a function explaining how to build your model must be provided, see the vignette for further details.
param	A list with parameters for the underlying function that builds the model. If the default value (NULL) is provided, the model is fitted with its default parameters. See details for the functions used to train the models.
efa	It is used to indicate how to estimate the forecast accuracy of the model using the last observations of the time series as test set. If the default value (NULL) is provided, no estimation is done. To specify the size of the test set the evaluation() function must be used.
tuneGrid	A data frame with possible tuning values. The columns are named the same as the tuning parameters. The estimation of forecast accuracy is done as explained for the efa parameter. Rolling or fixed origin evaluation is done according to the value of the efa parameter (fixed if NULL). The best combination of parameters is used to train the model with all the historical values of the time series.
preProcess	A list indicating the preprocessings or transformations. Currently, the length of the list must be 1 (only one preprocessing). If NULL no preprocessing is applied. The element of the list is a character value indicating what transformation is applied. By default ("additive") an additive transformation is done. It is also possible a multiplicative transformation ("multiplicative"). These transformations are recommended if the time series has a trend. Also, taking differences is allowed using the differences() function.

Details

The functions used to build and train the model are:

• KNN: In this case no model is built and the function FNN::knn.reg() is used to predict the future values of the time series.

• Regression trees: Function rpart::rpart() to build the model and the method rpart::predict.rpart() associated with the trained model to forecast the future values of the time series.

• Model trees: Function Cubist::cubist() to build the model and the method Cubist::predict.cubist() associated with the trained model to forecast the future values of the time series.

• Bagging: Function ipred::bagging() to build the model and the method ipred::predict.regbagg() associated with the trained model to forecast the future values of the time series.

• Random forest: Function ranger::ranger() to build the model and the method ranger::predict.ranger() associated with the trained model to forecast the future values of the time series.

Value

An S3 object of class utsf, basically a list with, at least, the following components:

ts	The time series being forecast.
features	A data frame with the features of the training set. The column names of the data frame indicate the autoregressive lags.
targets	A vector with the targets of the training set.
lags	An integer vector with the autoregressive lags.
model	The regression model used recursively to make the forecast.
pred	An object of class ts and length h with the forecast.
efa	This component is included if forecast accuracy is estimated. A vector with estimates of forecast accuracy according to different forecast accuracy measures.
tuneGrid	This component is included if the tuneGrid parameter has been used. A data frame in which each row contains estimates of forecast accuracy for a combination of tuning parameters.

Examples

## Forecast time series using k-nearest neighbors
f <- forecast(AirPassengers, h = 12, method = "knn")
f$pred
library(ggplot2)
autoplot(f)

## Using k-nearest neighbors changing the default k value
forecast(AirPassengers, h = 12, method = "knn", param = list(k = 5))$pred

## Using your own regression model

# Function to build the regression model
my_knn_model <- function(X, y) {
  structure(list(X = X, y = y), class = "my_knn")
}
# Function to predict a new example
predict.my_knn <- function(object, new_value) {
  FNN::knn.reg(train = object$X, test = new_value, y = object$y)$pred
}
forecast(AirPassengers, h = 12, method = my_knn_model)$pred

## Estimating forecast accuracy of the model
f <- forecast(UKgas, h = 4, lags = 1:4, method = "rf", efa = evaluation("minimum"))
f$efa

## Estimating forecast accuracy of different tuning parameters
f <- forecast(UKgas, h = 4, lags = 1:4, method = "knn", tuneGrid = expand.grid(k = 1:5))
f$tuneGrid

## Forecasting a trending series
# Without any preprocessing or transformation
f <- forecast(airmiles, h = 4, method = "knn", preProcess = NULL)
autoplot(f)

# Applying the additive transformation (default)
f <- forecast(airmiles, h = 4, method = "knn")
autoplot(f)

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Prediction from utsf objects

Description

Predict the class of a new observation based on the model associated with the utsf object

Usage

## S3 method for class 'utsf'
predict(object, new_value, ...)

Arguments

object	object of class utsf.
new_value	a data frame with one row of a new observation.
...	further arguments passed to or from other methods.

Value

a numeric value with the forecast.

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