inst/doc/feature-engineering.R

In finnts: Microsoft Finance Time Series Forecasting Framework

## ----include = FALSE----------------------------------------------------------
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

## ----message = FALSE----------------------------------------------------------
library(dplyr)
library(timetk)

m4_monthly %>%
  timetk::tk_augment_timeseries_signature(date) %>%
  dplyr::group_by(id) %>%
  timetk::tk_augment_fourier(date, .periods = c(3, 6, 12), .K = 1) %>%
  dplyr::ungroup()

## ----message = FALSE----------------------------------------------------------
library(finnts)

hist_data <- timetk::m4_monthly %>%
  dplyr::filter(
    date >= "2012-01-01",
    id == "M2"
  ) %>%
  dplyr::rename(Date = date) %>%
  dplyr::mutate(id = as.character(id))

run_info <- set_run_info(
  experiment_name = "finnts_fcst",
  run_name = "R1_run"
)

prep_data(
  run_info = run_info,
  input_data = hist_data,
  combo_variables = c("id"),
  target_variable = "value",
  date_type = "month",
  forecast_horizon = 3,
  recipes_to_run = "R1",
  multistep_horizon = FALSE
)

R1_prepped_data_tbl <- get_prepped_data(
  run_info = run_info,
  recipe = "R1"
)

print(R1_prepped_data_tbl)

## ----message = FALSE----------------------------------------------------------
library(finnts)

hist_data <- timetk::m4_monthly %>%
  dplyr::filter(
    date >= "2012-01-01",
    id == "M2"
  ) %>%
  dplyr::rename(Date = date) %>%
  dplyr::mutate(id = as.character(id))

run_info <- set_run_info(
  experiment_name = "finnts_fcst",
  run_name = "R2_run"
)

prep_data(
  run_info = run_info,
  input_data = hist_data,
  combo_variables = c("id"),
  target_variable = "value",
  date_type = "month",
  forecast_horizon = 3,
  recipes_to_run = "R2"
)

R2_prepped_data_tbl <- get_prepped_data(
  run_info = run_info,
  recipe = "R2"
)

print(R2_prepped_data_tbl)