View source: R/rolling_origin.R

rolling_origin | R Documentation |

It uses the model and the time series associated with the `knnForecast`

object to asses the forecasting accuracy of the model using the last
`h`

values of the time series to build test sets applying a rolling
origin evaluation.

```
rolling_origin(knnf, h = NULL, rolling = TRUE)
```

`knnf` |
A |

`h` |
A positive integer. The forecast horizon. If |

`rolling` |
A logical. If |

This function assesses the forecast accuracy of the model used by the
`knnForecast`

object. It uses `h`

different test and training
sets. The first test set consists of the last `h`

values of the time
series (the training set is formed by the previous values). The next test
set consists of the last `h - 1`

values of the time series and so on
(the last test set is formed by the last value of the time series).

A list containing at least the following fields:

`test_sets` |
a matrix containing the test sets used in the evaluation. Every row contains a different test set. |

`predictions` |
The predictions for the test sets. |

`errors` |
The errors for the test sets. |

`global_accu` |
Different measures of accuracy applied to all the errors. |

`h_accu` |
Different measures of accuracy applied to all the errors for every forecasting horizon. |

```
pred <- knn_forecasting(UKgas, h = 4, lags = 1:4, k = 2)
ro <- rolling_origin(pred)
print(ro$global_accu)
```

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