iForecast (version 1.0.4)

ttsCaret: Train time series by caret and produce two types of time series forecasts: static and recursive

Description

It generates both the static and recursive time series plots of machine learning prediction object generated by package caret.

Usage

ttsCaret(
  y,
  x=NULL,
  method,
  train.end,
  arOrder=2,
  xregOrder=0,
  type,
  tuneLength =10,
  trControl=trainControl(method = "cv"))

Arguments

y

The time series vector of target variable, or the dependent variable, with zoo format, must have dimension. y can be either binary or continuous.

x

The time series matrix of input variables, or the independent variables, with zoo format.

method

The train_model_list of caret. While using this, make sure that the method allows regression. Methods in c("svm","rf","rpart","gamboost","BstLm","bstSm","blackboost") are feasible.

train.end

The end date of training data, must be specificed.The default dates of train.start and test.end are the start and the end of input data; and the test.start is the 1-period next of train.end.

arOrder

The autoregressive order of the target variable, which may be sequentially specifed like arOrder=1:5; or discontinuous lags like arOrder=c(1,3,5); zero is not allowed.

xregOrder

The distributed lag structure of the input variables, which may be sequentially specifed like xregOrder=0:5; or discontinuous lags like xregOrder=c(0,3,5); zero is allowed since contemporaneous correlation is allowed.

type

The additional input variables. We have four selection: "none"=no other variables, "trend"=inclusion of time dummy, "season"=inclusion of seasonal dummies, "both"=inclusion of both trend and season. No default.

tuneLength

The same as the length specified in train function of package caret.

trControl

The same as trainControl function list in package caret. Default is trainControl(method = "cv").

Value

output

Output object generated by train function of caret.

arOrder

The autoregressive order of the target variable used.

data

The dataset of imputed.

dataused

The data used by arOrder, xregOrder, and type

Details

This function calls the train function of package caret to execute estimation. When execution finished, we compute two types of time series forecasts: static and recursive.

Examples

# NOT RUN {
# Cross-validation takes time, example below is commented.
## Machine Learning by library(caret)
library(zoo)
#Case 1. Low frequency
data("macrodata")
dep <- macrodata[569:669,"unrate",drop=FALSE]
ind <- macrodata[569:669,-1,drop=FALSE]
train.end <- "2018-12-01"# Choosing the end dating of train

models <- c("svm","rf","rpart","glm")[3]
type <- c("none","trend","season","both")[1]
Caret <- ttsCaret(y=dep, x=NULL, arOrder=c(1), xregOrder=c(1),
 method=models, tuneLength =1, train.end, type=type,
 trControl= trainControl(method = "cv"))
 testData1 <- window(Caret$data,start="2019-01-01",end=end(Caret$data))
P1 <- iForecast(Model=Caret,newdata=testData1,type="staticfit")
P2 <- iForecast(Model=Caret,newdata=testData1,type="recursive")

tail(cbind(testData1[,1],P1,P2))

#Case 2. High frequency
#head(ES_15m)
#head(ES_Daily)
#dep <- ES_15m #SP500 15-minute realized absolute variance
#ind <- NULL
#train.end <- as.character(rownames(dep))[as.integer(nrow(dep)*0.9)]

#models<-c("svm","rf","rpart","gamboost","BstLm","bstSm","blackboost")[1]
#type<-c("none","trend","season","both")[1]
# Caret <- ttsCaret(y=dep, x=ind, arOrder=c(3,5), xregOrder=c(0,2,4),
# method=models, tuneLength =10, train.end, type=type,
# trControl= trainControl(method = "cv"))
#testData1<-window(Caret$data,start="2009-01-01",end=end(Caret$data))
#P1<-iForecast(Model=Caret,newdata=testData1,type="staticfit")
#P2<-iForecast(Model=Caret,newdata=testData1,type="recursive")

# }