iForecast (version 1.1.0)

iForecast: Extract predictions and class probabilities from train objects

Description

It generates both the static and recursive time series plots of machine learning prediction object generated by ttsCaret, ttsAutoML and ttsLSTM.

Usage

iForecast(Model,newdata,Type,a.head)

Value

prediction

The forecasted time series target variable. For binary case, it returns both porbabilities and class.

Arguments

Model

Object of trained model.

newdata

The dataset for pediction, the column names must be the same as the trained data.Not required if type="dynamic".

Type

If Type="static", it computes the (static) forecasting values of insample model fit. If Type="dynamic", it recursively computes the forecasting values ahead.

a.head

For Type="dynamic", it is the number of forecasting periods ahead. Not required if type="static".

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Details

This function generates forecasts of tts.caret,and tts.autoML.

Examples

# Cross-validation takes time, example below is commented.
## Machine Learning by library(caret)
#Case 1. Low frequency, regression type
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","gbm","nb")[1]
type <- c("none","trend","season","both")[1]
# output <- tts.caret(y=dep, x=ind, arOrder=c(1), xregOrder=c(1),
# method="smv", tuneLength =1,
# train.end, type=type,resampling="cv",preProcess = "center")

# testData1 <- window(output$dataused,start="2019-01-01",end=end(output$dataused))
#P1=iForecast(Model=output,Type="static",newdata=testData1)
#P2=iForecast(Model=output,Type="dynamic",a.head=7)

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

#Case 2. Low frequency, binary type
data(bc) #binary dependent variable, business cycle phases
dep=bc[,1,drop=FALSE]
ind=bc[,-1]

train.end=as.character(rownames(dep))[as.integer(nrow(dep)*0.8)]
test.start=as.character(rownames(dep))[as.integer(nrow(dep)*0.8)+1]

#output = tts.caret(y=dep, x=ind, arOrder=c(1), xregOrder=c(1), method="nb",
#                   tuneLength =10, train.end, type=type)

#testData1=window(output$dataused,start=test.start,end=end(output$dataused))

#head(output$dataused)
#P1=iForecast(Model=output,Type="static",newdata=testData1)
#P2=iForecast(Model=output,Type="dynamic",a.head=7)

#tail(cbind(testData1[,1],P1),10)
#tail(cbind(testData1[,1],P2),10)