required_packages <- c("mlr3verse", "data.table", "xts", "openxlsx", "glmnet", "readxl", "PerformanceAnalytics", "outliers", "ggplot2") # Function to check and install the necessary packages install_and_load <- function(packages) { for (package in packages) { # Check if the package is installed if (!require(package, character.only = TRUE)) { # Install the package if it is not installed install.packages(package, dependencies = TRUE) # Load the package after installing library(package, character.only = TRUE) } } } install_and_load(required_packages)
setwd('..') source(file.path('sandbox', 'sampledata.R'))
setwd('..') source(file.path('sandbox', 'TSML.R')) source(file.path('sandbox', 'MLutils.R'))
testtask <- TSML$new(data = regr_data, ts_var = "DATE", y = "WI.RET") testtask$train_test_split(cutoff = 0.8)
Preprocessing
setwd('..') # Outlier detection and removal source(file.path('sandbox', 'outliers.R')) # Feature Selection source(file.path('sandbox', 'featureselection.R')) # Rescaling source(file.path('sandbox', 'rescale.R')) # ML Utils source(file.path('sandbox', 'MLutils.R'))
varnames = names(regr_data[, !c("DATE", "WI.RET")]) interval_outlier <- interval(regr_data, varnames = varnames) winsorize_outlier <- winsorize(regr_data, varnames = varnames) feature_corr <- feature_correlation(regr_data, varnames = varnames)
split_data <- train_test_split(regr_data, ts_var = "DATE") regr_train <- split_data[[1]] regr_test <- split_data[[2]]
setwd('..') source(file.path('sandbox', 'cvglmnet.R')) source(file.path('sandbox', 'rpart.R')) source(file.path('sandbox', 'ranger.R')) source(file.path('sandbox', 'svm.R')) source(file.path('sandbox', 'lda.R')) source(file.path('sandbox', 'qda.R')) source(file.path('sandbox', 'naiveBayes.R')) source(file.path('sandbox', 'KNN.R')) source(file.path('sandbox', 'nnet.R'))
test_cvglmnet(regr_train[, !"DATE"], regr_test[, !"DATE"], "WI.RET") test_rpart(regr_train[, !"DATE"], regr_test[, !"DATE"], "WI.RET")
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