lm_fit: Fit an onlineforecast model with 'lm'

In onlineforecast: Forecast Modelling for Online Applications

Fit an onlineforecast model with lm

Description

Fit a linear regression model given a onlineforecast model, seperately for each prediction horizon

Usage

lm_fit(
  prm = NA,
  model,
  data,
  scorefun = NA,
  returnanalysis = TRUE,
  printout = TRUE
)

Arguments

prm	as numeric with the parameters to be used when fitting.
model	object of class forecastmodel with the model to be fitted.
data	as data.list with the data to fit the model on.
scorefun	Optional. If scorefun is given, e.g. rmse, then the value of this is also returned.
returnanalysis	as logical determining if the analysis should be returned. See below.
printout	Defaults to TRUE. Prints the parameters for model.

Value

Depends on:

- If returnanalysis is TRUE a list containing:

* Yhat: data.frame with forecasts for model$kseq horizons.

* model: The forecastmodel object cloned deep, so can be modified without changing the original object.

* data: data.list with the data used, see examples on how to obtain the transformed data.

* Lfitval: a character "Find the fits in model$Lfits", it's a list with the lm fits for each horizon.

* scoreval: data.frame with the scorefun result on each horizon (only scoreperiod is included).

- If returnanalysis is FALSE (and scorefun is given): The sum of the score function on all horizons (specified with model$kseq).

Examples

# Take data
D <- subset(Dbuilding, c("2010-12-15", "2011-01-01"))
D$y <- D$heatload
# Define a simple model 
model <- forecastmodel$new()
model$output <- "y"
model$add_inputs(Ta = "lp(Ta, a1=0.9)",
                 mu = "one()")

# Before fitting the model, define which points to include in the evaluation of the score function
D$scoreperiod <- in_range("2010-12-20", D$t)
# And the sequence of horizons to fit for
model$kseq <- 1:6

# Now we can fit the model with RLS and get the model validation analysis data
fit <- lm_fit(prm=NA, model=model, data=D)
# What did we get back?
names(fit)
class(fit)
# The one-step forecast
plot(D$y, type="l")
lines(lagvec(fit$Yhat$k1,-1), col=2)
# Get the residuals
plot(residuals(fit)$h1)
# Score for each horizon
score(residuals(fit))

# The lm_fit don't put anything in this field
fit$Lfitval
# Find the lm fits here
model$Lfits
# See result for k=1 horizon
summary(model$Lfits$k1)
# Some diurnal pattern is present
acf(residuals(fit)$h1, na.action=na.pass, lag.max=96)

# Run with other parameters and return the RMSE
lm_fit(c(Ta__a1=0.8), model, D, scorefun=rmse, returnanalysis=FALSE)
lm_fit(c(Ta__a1=0.9), model, D, scorefun=rmse, returnanalysis=FALSE)

onlineforecast documentation built on Oct. 12, 2023, 5:15 p.m.