# NOT RUN {
# Sampled Seatbelts data from the R package datasets.
data("data_seatbelts", package = "forecastML")
# Example - Training data for 2 horizon-specific models w/ common lags per predictor.
horizons <- c(1, 12)
lookback <- 1:15
data_train <- create_lagged_df(data_seatbelts, type = "train", outcome_col = 1,
lookback = lookback, horizon = horizons)
windows <- create_windows(data_train, window_length = 12)
# User-define model - LASSO
# A user-defined wrapper function for model training that takes the following
# arguments: (1) a horizon-specific data.frame made with create_lagged_df(..., type = "train")
# (e.g., my_lagged_df$horizon_h) and, optionally, (2) any number of additional named arguments
# which are passed as '...' in train_model().
library(glmnet)
model_function <- function(data, my_outcome_col) {
x <- data[, -(my_outcome_col), drop = FALSE]
y <- data[, my_outcome_col, drop = FALSE]
x <- as.matrix(x, ncol = ncol(x))
y <- as.matrix(y, ncol = ncol(y))
model <- glmnet::cv.glmnet(x, y, nfolds = 3)
return(model)
}
# my_outcome_col = 1 is passed in ... but could have been defined in model_function().
model_results <- train_model(data_train, windows, model_name = "LASSO", model_function,
my_outcome_col = 1)
# View the results for the model (a) trained on the first horizon
# and (b) to be assessed on the first outer-loop validation window.
model_results$horizon_1$window_1$model
# }
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