R/Module_Sub_EstimationFunctions.R
In MichaelFolkes/forecastR_package: Forecast stuff
Defines functions
expsmooth.pt.fc
expsmooth.est
expsmooth.datacheck
arima.pt.fc
arima.est
arima.datacheck
logpower.pt.fc
logpower.simple.est
logpower.simple.datacheck
sibreg.kalman.pt.fc
sibreg.kalman.est
sibreg.kalman.datacheck
calc_multivariatePI
sibreg.complex.pt.fc
sibreg.complex.est
sibreg.complex.datacheck
sibreg.pt.fc
sibreg.simple.est
sibreg.simple.datacheck
rate.pt.fc
rate.est
rate.datacheck
naive.pt.fc
naive.est
naive.datacheck
naive.fit
lm.fit
# This script creates a list object with all the core estimation subroutines
# all take the same standard input object
####################################
# HANDLING OF LIST OBJECTS SHOULD BE CLEANED UP FOR CONSISTENCY
# model.fit element is created in each of the *.est functions,
# but added to the output list without making it a sub-list.
# should be: ..., model.fit = model.fit, ...
# currently is: ..., model.fit, ...
# Feb 2021 GP ---------------------
# changing return rate model from what it should be to what all the other ones are,
# because implementing the fix means changing it throughout all the models and all the app pieces
#### Generic Linear Model ####
# used in the following
# * simple sibling regression
# * simple log power sibling regression
# Should work for complex sibreg as well? -> need to discuss
lm.fit <- function(formula.use,data.use){
fits <- lm(formula=formula.use,data=data.use)
summary.fits <- summary(fits)
fits.out <- list(coefficients= fits$coefficients ,coefficients.table = summary.fits$coefficients ,
residuals= fits$residuals,
fit.obj = fits,
obs.values = data.use[,1] ,fitted.values.raw = fits$fitted.values,
data = data.use[,2:dim(data.use)[2]],
sigma = summary.fits$sigma, df = summary.fits$df, fstatistic = summary.fits$fstatistic,
r.squared = summary.fits$r.squared , adj.r.squared = summary.fits$adj.r.squared
)
return(fits.out)
}#END lm.fit
#### Generic Naive Fit ####
naive.fit <- function(data.use,avg.yrs = 3,method = "classic" ){
# data.use is named vector of abundances, with names corresponding to run years
# avg.yrs is the running avg that gets used (1 = like last year, 3 = avg of last 3 years)
# method is either:
# - "classic": fitted values are just the running averages, residuals calculated from there
# - "lm" : use the lm.fit() function applied to the "data ~ (offset rng avg)" -> Conceptual idea, Needs review and discussion
# - "fcpack" : use the naive() function from the forecast package
# NOTE: this assumes that the data has already been checked for missing years in naive.datacheck() before
# being fed into this subroutine.
# running avg calc is the same for methods "classic" and "lm"
yrs.in <- as.numeric(names(data.use))
rng.avg.vals <- stats::filter(data.use, filter=rep(1/avg.yrs,avg.yrs),side=1) # side = 1 means "past-looking rng avg"
names(rng.avg.vals) <- yrs.in +1
#print(rng.avg.vals)
#rng.avg.vals <- rng.avg.vals[1:(length(rng.avg.vals)-1)] # drop the last element (b/c would be fitted value for yr after data set)
yrs.out <- yrs.in[yrs.in %in% (yrs.in + avg.yrs)] # only leave years where you have a rng avg for the year before
filter.coeff <- avg.yrs
names(filter.coeff) <- "filter.coeff"
if(method == "classic"){
fits.out <- list(coefficients = filter.coeff,
obs.values = data.use[as.character(yrs.out)] ,
fitted.values.raw = rng.avg.vals[as.character(yrs.out)],
data = data.use,
residuals= data.use[as.character(yrs.out)]-rng.avg.vals[as.character(yrs.out)],
run.yrs = yrs.out)
} # end if classic
if(method == "lm"){
fits.out <- list(obs.values = NA ,fitted.values.raw = NA, data = data.use, residuals= NA,
run.yrs = yrs.out)
warning("naive.fit with method = lm not implemented yet")
} # end if lm()
if(method == "fcpack"){
fits.out <- list(obs.values = NA ,fitted.values.raw = NA, data = data.use, residuals= NA,
run.yrs = yrs.out)
warning("naive.fit with method = fcpack not implemented yet")
} # end if fcpack
return(fits.out)
} # end naive.fit
# NAIVE FIT
# NOTE: This was built completely separately from old code n1, n3, n5 (withage)
# extensive cross-checking required !!!!!!!
naive.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting naive.datacheck() - Placeholder only for now")}
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> YES, need to discuss and implement a fix (insert NA values?)
# Zero values a problem? -> don't think so, need to test
# just a placholder step
tmp.out <- range(model.data)
return(tmp.out)
} # end naive.datacheck
naive.est <- function(model.data,avg.yrs,tracing=FALSE){
# do the estimation (1 instance)
# for now NOT building in a user option for alternative methods
# -> need to test and discuss those more before proceeding with that
# model.data format required as per preamble in naive.fit() subroutine above
if(tracing){print("Starting naive.est()")}
model.fit <- naive.fit(data.use=model.data,avg.yrs = avg.yrs,method = "classic" )
return(c(list(model.type = "Naive",formula=paste("y = avg(y in",avg.yrs,"previous years)"), var.names = "abd" , est.fn = "classic"),
model.fit,list(fitted.values = model.fit$fitted.values.raw) ))
} # end naive.est
naive.pt.fc <- function(fit.obj=NULL, data,settings=NULL){
# don't need any coefficients, because just averaging the years fed in by the previous step
# data = vector of N years, as pre-filtered by the sub.fcdata() subroutine
# current setting: if ANY of the input values are NA, then the pt fc is NA
# How to get prediction intervals for naive? See https://github.com/avelez-espino/forecastR_phase4/issues/125
# Shouldn't this use predict() and fitobj? See https://github.com/MichaelFolkes/forecastR_package/issues/5
if(length(data)>1){ pt.fc.out <- c(mean(data,na.rm=TRUE),unlist(quantile(data,probs=c(0.1,0.9),na.rm=TRUE)) ) }
if(length(data)==1){
pt.fc.out <- mean(data,na.rm=TRUE)
pt.fc.out <- c( pt.fc.out, pt.fc.out * c(0.5,1.5))
}
return(pt.fc.out)
} # end naive.pt.fc
# Merge object
naive.list <- list(estimator = naive.est, datacheck= naive.datacheck, pt.fc =naive.pt.fc )
#### MECHANISTIC (Return RATE) ####
rate.datacheck <- function(data.use, pred.label = NULL, tracing=FALSE){
# verify that all the required components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting rate.datacheck()")}
# NA values a problem? -> don't think, need to test
# Missing years a problem? -> maybe
# Zero values a problem? -> if in denominator yes!
if(!is.null((pred.label))){
pred.check <- pred.label %in% names(data.use)
}
if(is.null((pred.label))){
pred.check <- sum(grepl("Pred_", names(data.use))) > 0
}
yrs.check <- sum(!(min(data.use$Run_Year):max(data.use$Run_Year) %in% data.use$Run_Year)) == 0
tmp.out <- list(var.check = pred.check,
yrs.check = yrs.check,
Predictor = paste("User-selected predictor variable in data set:", pred.check),
Years = paste("Complete years:", yrs.check)
)
return(tmp.out)
}#END rate.datacheck
rate.est <- function(data.use, avg="wtmean", pred.label = NULL, last.n = NULL){
# data.use is a data frame with at least 3 columns: first column is run year, second is abd, remaining are Pred
# avg is the type of average to use for the rate
# pred.label is the column label for the predictor variable. If NULL, function picks the first one (Put this in the Documentation)
# last.n determines the number of years to use for the rate calc. If NULL, use all years
data.orig <- data.use # for later
if(is.null(pred.label)){ pred.label <- names(data.use)[min(grep("Pred_",names(data.use)))]} # pick the first one, if none specified
#print(pred.label)
last.year <- max(data.use[[1]])
# handling year filter as per https://github.com/MichaelFolkes/forecastR_package/issues/15
if(!is.null(last.n)){ data.use <- data.use[data.use[[1]] > (last.year -last.n), ] }
data.use$rate <- data.use[[2]]/data.use[[pred.label]]
if(avg == "wtmean"){ data.use <- na.omit(data.use); rate.use <- sum(data.use[[2]]) / sum(data.use[[pred.label]]) }
if(avg == "mean"){ rate.use <- mean(data.use$rate,na.rm=TRUE) }
if(avg == "median"){ rate.use <- median(data.use$rate,na.rm=TRUE) }
# see https://github.com/MichaelFolkes/forecastR_package/issues/11
if(avg == "geomean"){ data.use <- data.use %>% dplyr::filter(rate > 0) ; rate.use <- exp(mean(log(data.use$rate,na.rm=TRUE))) }
#if(avg == "min"){ rate.use <- min(data.use$rate,na.rm=TRUE) }
#if(avg == "max"){ rate.use <- max(data.use$rate,na.rm=TRUE) }
#use these for the prediction interval in pt.fc fn
if(dim(data.use)[1]>1){
lower.rate.use <- quantile(data.use$rate,prob=0.1)
upper.rate.use <- quantile(data.use$rate,prob=0.9)
}
if(dim(data.use)[1]==1){
lower.rate.use <- rate.use *0.5
upper.rate.use <- rate.use *1.5
}
fits <- data.orig[[pred.label]] * rate.use
model.fit <- list(coefficients = rate.use,
lower.coeff = lower.rate.use,
upper.coeff = upper.rate.use,
obs.values = data.orig[[2]] ,
fitted.values = fits,
data = data.orig,
data.used = data.use,
residuals= data.orig[[2]] - fits )
results <- c(list(model.type = "ReturnRate",formula=paste0(names(data.orig)[2],"* return rate based on last",last.n,"yrs of", pred.label),
var.names = pred.label,
est.fn = paste0(avg," of (rate[last", last.n,"yrs])"),
fitted.values = fits,
obs.values = data.orig[[2]],
residuals = data.orig[[2]] - fits,
run.yrs = data.orig[[1]],
num.obs.used = sum(!is.na(data.use$rate)) ),
model.fit
)
#print("--------------------------------------")
#print(names(results))
return(results)
}#END rate.est
rate.pt.fc <- function(fit.obj=NULL, data,settings=NULL){
# fit.obj = object created from fitModel()
# data = value of predictor variable
# settings argument is here for consistency with the other pt.fc functions. It doesn't do anything (for now)
# How to get prediction intervals for rate model? See https://github.com/MichaelFolkes/forecastR_package/issues/12
# lower/upper step is in rate.est, here using only the resulting coeff
#print("------------")
#print(data)
#print("----rate.pt.fc--------")
#print(names(fit.obj))
#print(data)
#print(fit.obj$coefficients)
#print(fit.obj$lower.coeff)
#print(fit.obj$upper.coeff)
pt.fc.out <- c(data * fit.obj$coefficients,
data * fit.obj$lower.coeff,
data * fit.obj$upper.coeff)
names(pt.fc.out) <- c("Point","Lower", "Upper")
#print(pt.fc.out)
return(pt.fc.out)
} #END rate.pt.fc
# Merge object
rate.list <- list(estimator = rate.est, datacheck= rate.datacheck, pt.fc =rate.pt.fc )
#### SIMPLE SIBLING REGRESSION ####
# try to use (or build on) the following functions from old code:
# datafile_extract_age_class() -> incorporated into prepData() with out.labels="v2"
# prepare_data_and_model_formulas()
# sibling_regression_model_fits()
sibreg.simple.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting sibreg.simple.datacheck() - Placeholder only for now")}
# make sure that years are lined up by "run year"
# (i.e. run year columns in ageclass_y and ageclass_x need to be identical
# this is the case with the sample dataset, but should build in a formal check
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> don't think so, need to test
# Zero values a problem? -> don't think so, need to test
# just a placholder step
tmp.out <- range(model.data)
return(tmp.out)
} # end sibreg.simple.datacheck
sibreg.simple.est <- function(model.data,settings=NULL,tracing=FALSE){
# do the estimation (1 instance)
# model.data needs to have the following columns:
# Column 1 = Age X by run year
# Column 2 = Age X-1 by run year, with run year offset by 1
# Using the convention that first col always has the reponse var, in order to set up consistency with covariate models
# For example if Col 1 is Age6_2008, then Col 2 has to be Age5_2007
# column names can be any valid R column name. Outputs (e.g. coefficients) will be labelled accordingly
# Note: settings argument doesn't do anything for now, but it needs to be a placeholder because of the way
# generic calls are set up to alternative SIbReg models, and the Kalman filter Sib Reg needs settings.
# NOTE: This fits a linear regression through the origin
# (i.e. intercept set to 0 by specifying "y ~ -1 + x")
if(tracing){print("Starting sibreg.simple.est()")}
sibreg.formula <- paste(names(model.data)[1], " ~ -1 + ",names(model.data)[2])
model.fit <- lm.fit(formula.use = sibreg.formula ,data.use=model.data)
return(c(list(model.type = "SibRegSimple",formula=sibreg.formula,var.names = names(model.data)[2], est.fn = "lm()"),
model.fit,list(fitted.values = model.fit$fitted.values.raw) ))
} # end sibreg.simple.est
sibreg.pt.fc <- function(fit.obj, data,settings=NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between sibreg.simple.est() and this fn.
#print("entering sibreg.pt.fc -----------------------------")
#print(names(fit.obj))
pt.fc <- predict.lm(fit.obj$fit.obj,newdata = data, interval= "prediction", level=0.8 )
return(pt.fc)
} # end sibreg.pt.fc
# Merge object
sibreg.simple.list <- list(estimator = sibreg.simple.est, datacheck= sibreg.simple.datacheck , pt.fc = sibreg.pt.fc)
#### COMPLEX SIBLING REGRESSION ####
sibreg.complex.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting sibreg.simple.datacheck() - Placeholder only for now")}
# make sure that years are lined up by "run year"
# (i.e. run year columns in ageclass_y and ageclass_x need to be identical
# this is the case with the sample dataset, but should build in a formal check
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> don't think so, need to test
# Zero values a problem? -> don't think so, need to test
# just a placholder step
tmp.out <- range(model.data)
return(tmp.out)
}#END sibreg.complex.datacheck
sibreg.complex.est <- function(model.data,tracing=FALSE){
# do the estimation (1 instance)
# model.data needs to have the following columns:
# Column 1 = Age X by run year
# Column 2 = Age X-1 by run year, with run year offset by 1
# Using the convention that first col always has the reponse var, in order to set up consistency with covariate models
# For example if Col 1 is Age6_2008, then Col 2 has to be Age5_2007
# column names can be any valid R column name. Outputs (e.g. coefficients) will be labelled accordingly
# NOTE: This fits a linear regression through the origin
# (i.e. intercept set to 0 by specifying "y ~ -1 + x")
if(tracing){print("Starting sibreg.simple.est()")}
sibreg.formula <- paste(names(model.data)[1], " ~ -1 + ",names(model.data)[2])
model.fit <- lm.fit(formula.use = sibreg.formula ,data.use=model.data)
return(c(list(model.type = "SibRegSimple",formula=sibreg.formula,var.names = names(model.data)[2], est.fn = "lm()"),
model.fit,list(fitted.values = model.fit$fitted.values.raw) ))
}#END sibreg.complex.est
sibreg.complex.pt.fc <- function(fit.obj, data,settings = NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
pt.fc <- predict.lm(fit.obj,newdata = data , interval= "prediction", level=0.8 )
return(pt.fc)
}#END sibreg.complex.pt.fc
# Merge object
sibreg.complex.list <- list(estimator = sibreg.complex.est, datacheck= sibreg.complex.datacheck , pt.fc = sibreg.complex.pt.fc)
#### KALMAN FILTER SIBLING REGRESSION ####
calc_multivariatePI <- function(a.vec, var.vec, n=1000){
df <- data.frame(a=a.vec, var=var.vec, n)
samples <- apply(df, 1, function(x){
rnorm(x['n'], mean = x['a'], sd=sqrt(x['var']))
})
cross_a_means <- rowMeans(samples)
a.pi <- quantile(cross_a_means, probs = c(0.1, 0.5, 0.9))
return(list(params.original=df, pi.estimates=a.pi))
}#END calc_multivariatePI
sibreg.kalman.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting sibreg.kalman.datacheck() - Placholder only for now")}
# NA values a problem? -> need to think this through and test
# Missing years a problem? -> need to think this through and test
# Zero values a problem? -> need to think this through and test
} # end sibreg.Kalman.datacheck
sibreg.kalman.est <- function(model.data,settings=list(int.avg=5),tracing=FALSE){
# do the estimation (1 instance)
# int.avg = the number of years for averaging the "recent intercept"
if(!is.null(settings)){
if(is.na(settings$int.avg)){ settings$int.avg <- 5 } # if getting NA from GUI, set to same default as NULL would use
}
if(is.null(settings)){ settings$int.avg <- 5 }
if(tracing){print("Starting sibreg.kalman.est()")}
# using functions provided by Carrie Holt, and adapting her example code
# keeping the notation consistent for now
# BUT: changed the initial values for ln.sig.e and ln.sig.w from log(1) to 10,
# and for var.a from 1 to 10 (based on trial and error)
x <- model.data[,2]
y <- model.data[,1]
###Set up initial parameters (Ts=1, but remaining initials can be adjusted)
initial<-list(lm(y~x)$coef[2], 10, 10 , lm(y~x)$coef[1], 10, 1)
names(initial)<-c("b", "ln.sig.e", "ln.sig.w", "mean.a", "var.a", "Ts")
output<-kf.rw(initial=initial,x=x,y=y)
num.a <- length(output$smoothe.mean.a)
a.vec <- output$smoothe.mean.a[(num.a-settings$int.avg+1):num.a]
var.vec <- output$smoothe.var.a[(num.a-settings$int.avg+1):num.a]
# Using mean a and mean variance across the user-specified time period
#a.sampled <- quantile(rnorm(1000,mean(a.vec),sqrt(mean(var.vec))),probs=c(0.1,0.9))
#a.lower <- a.sampled[1]
#a.upper <- a.sampled[2]
# fancier version
a.pi <- calc_multivariatePI(a.vec,var.vec,n=1000)
#print(a.pi)
a.lower <- a.pi$pi.estimates[1]
a.upper <- a.pi$pi.estimates[3]
a.out <- mean(a.vec)
coef.kf <- c( a.out , output$b, a.lower,a.upper)
names(coef.kf) <- c("a.kf","b","a.lower","a.upper")
fitted.kf <- output$smoothe.mean.a + output$b * x
model.fit <- list( coefficients= coef.kf ,coefficients.table = coef.kf ,
residuals= y - fitted.kf , # change from fitted - y to be consistent with other models
fit.obj = list(coefficients = coef.kf, output),
obs.values = model.data[,1] ,fitted.values.raw = fitted.kf,
data = model.data[,2:dim(model.data)[2]],
sigma = NA, df = NA , fstatistic = NA,
r.squared = NA , adj.r.squared = NA
)
return(c(list(model.type = "SibRegKalman",formula=NA,var.names = names(model.data)[2], est.fn = "kf.rw()"),
model.fit,list(fitted.values = fitted.kf)))
} # end sibreg.Kalman.est
sibreg.kalman.pt.fc <- function(fit.obj, data, settings=NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
# don't understand why unlist() is needed here, but without it this
# messes up the storage matrix in sub.pt.fc()
# Need to figure out how to get prediction intervals from the a and b mean and var
pt.fc <- c(unlist(fit.obj$coefficients["a.kf"] + fit.obj$coefficients["b"] * data ),
unlist(fit.obj$coefficients["a.lower"] + fit.obj$coefficients["b"] * data ),
unlist(fit.obj$coefficients["a.upper"] + fit.obj$coefficients["b"] * data ))
return(pt.fc)
} # end sibreg.pt.fc
sibreg.kalman.list <- list(estimator = sibreg.kalman.est, datacheck= sibreg.kalman.datacheck, pt.fc = sibreg.kalman.pt.fc)
#### SIMPLE LOG POWER SIBLING REGRESSION ####
# try to use (or build on) the following functions from old code:
# datafile_extract_age_class() THIS FUNCTION IS ALSO IN SIMPLE SIB REG -> CHECK IF SAME
# prepare_data_and_model_formulas() THIS FUNCTION IS ALSO IN SIMPLE SIB REG -> CHECK IF SAME
# fit function
logpower.simple.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting logpower.simple.datacheck() - Placholder only for now")}
# just a placholder step
tmp.out <- range(model.data)
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> don't think so, need to test
# Zero values a problem? -> YES -> need to agree on a replacement value (1 Fish?, 0.1 Fish?, NA) -> pull on fit?
# -> WG discussion required
return(tmp.out)
} # end logpower.simple.datacheck
logpower.simple.est <- function(model.data, settings = NULL, tracing=FALSE){
# do the estimation (1 instance)
# model.data needs to have the following columns:
# Column 1 = Age X by run year
# Column 2 = Age X-1 by run year, with run year offset by 1
# Using the convention that first col always has the reponse var, in order to set up consistency with covariate models
# For example if Col 1 is Age6_2008, then Col 2 has to be Age5_2007
# column names can be any valid R column name. Outputs (e.g. coefficients) will be labelled accordingly
# Note: settings argument doesn't do anything for now, but it needs to be a placeholder because of the way
# generic calls are set up to alternative SIbReg models, and the Kalman filter Sib Reg needs settings.
# NOTE: This fits a linear regression WITHOUT forcing the line through the origin
# (i.e. specifying model as "y ~ 1 + x") (the +1 is just for notation consistency with the simple sib reg model
if(tracing){print("Starting logpower.simple.est()")}
logpower.formula <- paste("log(",names(model.data)[1], ") ~ 1 + log(",names(model.data)[2],")") # +1
model.fit <- lm.fit(formula.use = logpower.formula ,data.use=model.data)
return(c(list(model.type = "SibRegLogPower",formula=logpower.formula,var.names = names(model.data)[2],est.fn = "lm()"),
model.fit,list(fitted.values = exp(model.fit$fitted.values.raw)) ))
} # end logpower.simple.est
logpower.pt.fc <- function(fit.obj, data, settings = NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between logpower.simple.est() and this fn.
#print("entering logpower.pt.fc -----------------------------")
#print(names(fit.obj))
pt.fc.raw <- predict.lm(fit.obj$fit.obj,newdata = data , interval= "prediction", level=0.8 )
n <- length(fit.obj$fitted.values)
bias.correction <- (summary(fit.obj$fit.obj)$sigma^2 * ((n-2)/n)) / 2
pt.fc <- exp(pt.fc.raw + bias.correction) # convert back from log, including bias correction
# bias correction as per Sprugel (1983),
# adapting code from earlier version of ForecastR, which used:
# sigma.ols <- summary(model)$sigma
# n <- nrow(model.frame(model))
# sigma.squared.mle <- sigma.ols^2 * ((n-2)/n)
# round(exp(p + (sigma.squared.mle/2)))
#print(pt.fc)
return(pt.fc)
} # end sibreg.pt.fc
# Merge object
logpower.simple.list <- list(estimator = logpower.simple.est, datacheck= logpower.simple.datacheck,pt.fc =logpower.pt.fc )
#### ARIMA ####
arima.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting arima.datacheck() - Placholder only for now")}
# just a placholder step
tmp.out <- range(model.data)
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> YES! see below
# Zero values a problem? -> don't think see, need to test
# note: auto.arima assumes all the values have the same interval and no missing intervals.
return(tmp.out)
} # end arima.datacheck
arima.est <- function(model.data,settings=list(BoxCox=FALSE), tracing=FALSE){
# do the estimation (1 instance)
# model.data is a univariate time series
if(tracing){print("Starting arima.est()")}
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(model.data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("model.data")
#print(model.data)
#print("lambda fit")
#print(lambda.use)
model.fit <- forecast::auto.arima(model.data, allowmean=TRUE, allowdrift=FALSE, lambda=lambda.use)
return(c(list(model.type = "TimeSeriesArima",formula= NA ,var.names = NA,est.fn = "auto.arima()"),
model.fit,list(fit.obj=model.fit),list(obs.values = model.data, fitted.values = as.numeric(fitted(model.fit)) ) ))
} # end arima.est
arima.pt.fc <- function(fit.obj, data ,settings=list(BoxCox=FALSE)){
# fit.obj = object created from fitModel()
# data = not needed, because captured in output from auto.arima
# just feeding in an obj with NA
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between arima.est() and this fn.
# https://stats.stackexchange.com/questions/155305/how-does-r-calculate-prediction-intervals-in-the-forecast-package
#print("entering arima.pt.fc -------------")
#print(names(fit.obj))
#print("settings$BoxCox")
#print(settings$BoxCox)
#print(data)
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("data")
#print(data)
#print("lambda fc")
#print(lambda.use)
# why does ets() need/use forecast() while auto.arima uses predict()? They are both in the {forecast} #library -> need to do some searching/testing
# Also, for the ARIMA output, need to store the exact object as a list element (some replication)
# but it seems the predict() needs it
# BoxCox conversion issue: predict.Arima does not use lambda argument
# pt.fc <- as.numeric(predict(fit.obj,n.ahead=1,lambda=lambda.use)$pred )
# do it via forecast(), which is the same approach used for exp smooth fc via ets()
fc.out <- forecast::forecast(fit.obj$fit.obj, h=1,lambda=lambda.use,biasadj=TRUE,level=80)
pt.fc <- as.numeric(c(fc.out$mean,fc.out$lower, fc.out$upper))
#why still need to back convert? The forecast() call already uses lambda???
#if(settings$BoxCox){pt.fc <- InvBoxCox(pt.fc,lambda.use) }
#print(pt.fc)
return(pt.fc)
} # end arima.pt.fc
# Merge object
arima.list <- list(estimator = arima.est, datacheck= arima.datacheck,pt.fc =arima.pt.fc )
#### EXP SMOOTHING ####
expsmooth.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting expsmooth.datacheck() - Placholder only for now")}
# just a placholder step
tmp.out <- range(model.data)
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> YES! see below
# Zero values a problem? -> don't think see, need to test
# note: ets() assumes all the values have the same interval and no missing intervals.
return(tmp.out)
} # end expsmooth.datacheck
expsmooth.est <- function(model.data,settings=list(BoxCox=FALSE), tracing=FALSE){
# do the estimation (1 instance)
# model.data is a univariate time series
if(tracing){print("Starting expsmooth.est()")}
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(model.data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("model.data")
#print(model.data)
#print("lambda fit")
#print(lambda.use)
model.fit <- forecast::ets(model.data, model="ZZZ", lambda=lambda.use)
return(c(list(model.type = "TimeSeriesExpSmooth",formula= NA ,var.names = NA,est.fn = "ets()"),
model.fit ,list(fit.obj=model.fit),list(obs.values = model.data, fitted.values = as.numeric(fitted(model.fit)) ) ))
} # end expsmooth.est
expsmooth.pt.fc <- function(fit.obj, data, settings=list(BoxCox=FALSE)){
# fit.obj = object created from fitModel()
# data = not needed, because captured in output from ets()
# just feeding in an obj with NA
# https://stats.stackexchange.com/questions/155305/how-does-r-calculate-prediction-intervals-in-the-forecast-package
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between arima.est() and this fn.
#print("entering arima.pt.fc -------------")
#print(names(fit.obj))
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("data")
#print(data)
#print("lambda fc")
#print(lambda.use)
fc.out <- forecast::forecast(fit.obj$fit.obj, h=1,lambda=lambda.use,biasadj=TRUE,level=80)
pt.fc <- as.numeric(c(fc.out$mean,fc.out$lower, fc.out$upper))
#why still need to back convert? The forecast() call already uses lambda???
#if(settings$BoxCox){pt.fc <- InvBoxCox(pt.fc,lambda.use) }
#print(lambda.use)
#print(pt.fc)
return(pt.fc)
} # end expsmooth.pt.fc
# Merge object
expsmooth.list <- list(estimator = expsmooth.est, datacheck= expsmooth.datacheck,pt.fc =expsmooth.pt.fc )
#### MERGING ALL THE MODELS ####
estimation.functions <- list(Naive = naive.list,
ReturnRate = rate.list,
SibRegSimple = sibreg.simple.list,
SibRegKalman = sibreg.kalman.list,
SibRegLogPower = logpower.simple.list,
TimeSeriesArima = arima.list,
TimeSeriesExpSmooth = expsmooth.list,
SibRegComplex=sibreg.complex.list)
MichaelFolkes/forecastR_package documentation built on April 4, 2021, 5:14 a.m.
R Package Documentation
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Defines functions expsmooth.pt.fc expsmooth.est expsmooth.datacheck arima.pt.fc arima.est arima.datacheck logpower.pt.fc logpower.simple.est logpower.simple.datacheck sibreg.kalman.pt.fc sibreg.kalman.est sibreg.kalman.datacheck calc_multivariatePI sibreg.complex.pt.fc sibreg.complex.est sibreg.complex.datacheck sibreg.pt.fc sibreg.simple.est sibreg.simple.datacheck rate.pt.fc rate.est rate.datacheck naive.pt.fc naive.est naive.datacheck naive.fit lm.fit
# This script creates a list object with all the core estimation subroutines
# all take the same standard input object
####################################
# HANDLING OF LIST OBJECTS SHOULD BE CLEANED UP FOR CONSISTENCY
# model.fit element is created in each of the *.est functions,
# but added to the output list without making it a sub-list.
# should be: ..., model.fit = model.fit, ...
# currently is: ..., model.fit, ...
# Feb 2021 GP ---------------------
# changing return rate model from what it should be to what all the other ones are,
# because implementing the fix means changing it throughout all the models and all the app pieces
#### Generic Linear Model ####
# used in the following
# * simple sibling regression
# * simple log power sibling regression
# Should work for complex sibreg as well? -> need to discuss
lm.fit <- function(formula.use,data.use){
fits <- lm(formula=formula.use,data=data.use)
summary.fits <- summary(fits)
fits.out <- list(coefficients= fits$coefficients ,coefficients.table = summary.fits$coefficients ,
residuals= fits$residuals,
fit.obj = fits,
obs.values = data.use[,1] ,fitted.values.raw = fits$fitted.values,
data = data.use[,2:dim(data.use)[2]],
sigma = summary.fits$sigma, df = summary.fits$df, fstatistic = summary.fits$fstatistic,
r.squared = summary.fits$r.squared , adj.r.squared = summary.fits$adj.r.squared
)
return(fits.out)
}#END lm.fit
#### Generic Naive Fit ####
naive.fit <- function(data.use,avg.yrs = 3,method = "classic" ){
# data.use is named vector of abundances, with names corresponding to run years
# avg.yrs is the running avg that gets used (1 = like last year, 3 = avg of last 3 years)
# method is either:
# - "classic": fitted values are just the running averages, residuals calculated from there
# - "lm" : use the lm.fit() function applied to the "data ~ (offset rng avg)" -> Conceptual idea, Needs review and discussion
# - "fcpack" : use the naive() function from the forecast package
# NOTE: this assumes that the data has already been checked for missing years in naive.datacheck() before
# being fed into this subroutine.
# running avg calc is the same for methods "classic" and "lm"
yrs.in <- as.numeric(names(data.use))
rng.avg.vals <- stats::filter(data.use, filter=rep(1/avg.yrs,avg.yrs),side=1) # side = 1 means "past-looking rng avg"
names(rng.avg.vals) <- yrs.in +1
#print(rng.avg.vals)
#rng.avg.vals <- rng.avg.vals[1:(length(rng.avg.vals)-1)] # drop the last element (b/c would be fitted value for yr after data set)
yrs.out <- yrs.in[yrs.in %in% (yrs.in + avg.yrs)] # only leave years where you have a rng avg for the year before
filter.coeff <- avg.yrs
names(filter.coeff) <- "filter.coeff"
if(method == "classic"){
fits.out <- list(coefficients = filter.coeff,
obs.values = data.use[as.character(yrs.out)] ,
fitted.values.raw = rng.avg.vals[as.character(yrs.out)],
data = data.use,
residuals= data.use[as.character(yrs.out)]-rng.avg.vals[as.character(yrs.out)],
run.yrs = yrs.out)
} # end if classic
if(method == "lm"){
fits.out <- list(obs.values = NA ,fitted.values.raw = NA, data = data.use, residuals= NA,
run.yrs = yrs.out)
warning("naive.fit with method = lm not implemented yet")
} # end if lm()
if(method == "fcpack"){
fits.out <- list(obs.values = NA ,fitted.values.raw = NA, data = data.use, residuals= NA,
run.yrs = yrs.out)
warning("naive.fit with method = fcpack not implemented yet")
} # end if fcpack
return(fits.out)
} # end naive.fit
# NAIVE FIT
# NOTE: This was built completely separately from old code n1, n3, n5 (withage)
# extensive cross-checking required !!!!!!!
naive.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting naive.datacheck() - Placeholder only for now")}
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> YES, need to discuss and implement a fix (insert NA values?)
# Zero values a problem? -> don't think so, need to test
# just a placholder step
tmp.out <- range(model.data)
return(tmp.out)
} # end naive.datacheck
naive.est <- function(model.data,avg.yrs,tracing=FALSE){
# do the estimation (1 instance)
# for now NOT building in a user option for alternative methods
# -> need to test and discuss those more before proceeding with that
# model.data format required as per preamble in naive.fit() subroutine above
if(tracing){print("Starting naive.est()")}
model.fit <- naive.fit(data.use=model.data,avg.yrs = avg.yrs,method = "classic" )
return(c(list(model.type = "Naive",formula=paste("y = avg(y in",avg.yrs,"previous years)"), var.names = "abd" , est.fn = "classic"),
model.fit,list(fitted.values = model.fit$fitted.values.raw) ))
} # end naive.est
naive.pt.fc <- function(fit.obj=NULL, data,settings=NULL){
# don't need any coefficients, because just averaging the years fed in by the previous step
# data = vector of N years, as pre-filtered by the sub.fcdata() subroutine
# current setting: if ANY of the input values are NA, then the pt fc is NA
# How to get prediction intervals for naive? See https://github.com/avelez-espino/forecastR_phase4/issues/125
# Shouldn't this use predict() and fitobj? See https://github.com/MichaelFolkes/forecastR_package/issues/5
if(length(data)>1){ pt.fc.out <- c(mean(data,na.rm=TRUE),unlist(quantile(data,probs=c(0.1,0.9),na.rm=TRUE)) ) }
if(length(data)==1){
pt.fc.out <- mean(data,na.rm=TRUE)
pt.fc.out <- c( pt.fc.out, pt.fc.out * c(0.5,1.5))
}
return(pt.fc.out)
} # end naive.pt.fc
# Merge object
naive.list <- list(estimator = naive.est, datacheck= naive.datacheck, pt.fc =naive.pt.fc )
#### MECHANISTIC (Return RATE) ####
rate.datacheck <- function(data.use, pred.label = NULL, tracing=FALSE){
# verify that all the required components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting rate.datacheck()")}
# NA values a problem? -> don't think, need to test
# Missing years a problem? -> maybe
# Zero values a problem? -> if in denominator yes!
if(!is.null((pred.label))){
pred.check <- pred.label %in% names(data.use)
}
if(is.null((pred.label))){
pred.check <- sum(grepl("Pred_", names(data.use))) > 0
}
yrs.check <- sum(!(min(data.use$Run_Year):max(data.use$Run_Year) %in% data.use$Run_Year)) == 0
tmp.out <- list(var.check = pred.check,
yrs.check = yrs.check,
Predictor = paste("User-selected predictor variable in data set:", pred.check),
Years = paste("Complete years:", yrs.check)
)
return(tmp.out)
}#END rate.datacheck
rate.est <- function(data.use, avg="wtmean", pred.label = NULL, last.n = NULL){
# data.use is a data frame with at least 3 columns: first column is run year, second is abd, remaining are Pred
# avg is the type of average to use for the rate
# pred.label is the column label for the predictor variable. If NULL, function picks the first one (Put this in the Documentation)
# last.n determines the number of years to use for the rate calc. If NULL, use all years
data.orig <- data.use # for later
if(is.null(pred.label)){ pred.label <- names(data.use)[min(grep("Pred_",names(data.use)))]} # pick the first one, if none specified
#print(pred.label)
last.year <- max(data.use[[1]])
# handling year filter as per https://github.com/MichaelFolkes/forecastR_package/issues/15
if(!is.null(last.n)){ data.use <- data.use[data.use[[1]] > (last.year -last.n), ] }
data.use$rate <- data.use[[2]]/data.use[[pred.label]]
if(avg == "wtmean"){ data.use <- na.omit(data.use); rate.use <- sum(data.use[[2]]) / sum(data.use[[pred.label]]) }
if(avg == "mean"){ rate.use <- mean(data.use$rate,na.rm=TRUE) }
if(avg == "median"){ rate.use <- median(data.use$rate,na.rm=TRUE) }
# see https://github.com/MichaelFolkes/forecastR_package/issues/11
if(avg == "geomean"){ data.use <- data.use %>% dplyr::filter(rate > 0) ; rate.use <- exp(mean(log(data.use$rate,na.rm=TRUE))) }
#if(avg == "min"){ rate.use <- min(data.use$rate,na.rm=TRUE) }
#if(avg == "max"){ rate.use <- max(data.use$rate,na.rm=TRUE) }
#use these for the prediction interval in pt.fc fn
if(dim(data.use)[1]>1){
lower.rate.use <- quantile(data.use$rate,prob=0.1)
upper.rate.use <- quantile(data.use$rate,prob=0.9)
}
if(dim(data.use)[1]==1){
lower.rate.use <- rate.use *0.5
upper.rate.use <- rate.use *1.5
}
fits <- data.orig[[pred.label]] * rate.use
model.fit <- list(coefficients = rate.use,
lower.coeff = lower.rate.use,
upper.coeff = upper.rate.use,
obs.values = data.orig[[2]] ,
fitted.values = fits,
data = data.orig,
data.used = data.use,
residuals= data.orig[[2]] - fits )
results <- c(list(model.type = "ReturnRate",formula=paste0(names(data.orig)[2],"* return rate based on last",last.n,"yrs of", pred.label),
var.names = pred.label,
est.fn = paste0(avg," of (rate[last", last.n,"yrs])"),
fitted.values = fits,
obs.values = data.orig[[2]],
residuals = data.orig[[2]] - fits,
run.yrs = data.orig[[1]],
num.obs.used = sum(!is.na(data.use$rate)) ),
model.fit
)
#print("--------------------------------------")
#print(names(results))
return(results)
}#END rate.est
rate.pt.fc <- function(fit.obj=NULL, data,settings=NULL){
# fit.obj = object created from fitModel()
# data = value of predictor variable
# settings argument is here for consistency with the other pt.fc functions. It doesn't do anything (for now)
# How to get prediction intervals for rate model? See https://github.com/MichaelFolkes/forecastR_package/issues/12
# lower/upper step is in rate.est, here using only the resulting coeff
#print("------------")
#print(data)
#print("----rate.pt.fc--------")
#print(names(fit.obj))
#print(data)
#print(fit.obj$coefficients)
#print(fit.obj$lower.coeff)
#print(fit.obj$upper.coeff)
pt.fc.out <- c(data * fit.obj$coefficients,
data * fit.obj$lower.coeff,
data * fit.obj$upper.coeff)
names(pt.fc.out) <- c("Point","Lower", "Upper")
#print(pt.fc.out)
return(pt.fc.out)
} #END rate.pt.fc
# Merge object
rate.list <- list(estimator = rate.est, datacheck= rate.datacheck, pt.fc =rate.pt.fc )
#### SIMPLE SIBLING REGRESSION ####
# try to use (or build on) the following functions from old code:
# datafile_extract_age_class() -> incorporated into prepData() with out.labels="v2"
# prepare_data_and_model_formulas()
# sibling_regression_model_fits()
sibreg.simple.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting sibreg.simple.datacheck() - Placeholder only for now")}
# make sure that years are lined up by "run year"
# (i.e. run year columns in ageclass_y and ageclass_x need to be identical
# this is the case with the sample dataset, but should build in a formal check
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> don't think so, need to test
# Zero values a problem? -> don't think so, need to test
# just a placholder step
tmp.out <- range(model.data)
return(tmp.out)
} # end sibreg.simple.datacheck
sibreg.simple.est <- function(model.data,settings=NULL,tracing=FALSE){
# do the estimation (1 instance)
# model.data needs to have the following columns:
# Column 1 = Age X by run year
# Column 2 = Age X-1 by run year, with run year offset by 1
# Using the convention that first col always has the reponse var, in order to set up consistency with covariate models
# For example if Col 1 is Age6_2008, then Col 2 has to be Age5_2007
# column names can be any valid R column name. Outputs (e.g. coefficients) will be labelled accordingly
# Note: settings argument doesn't do anything for now, but it needs to be a placeholder because of the way
# generic calls are set up to alternative SIbReg models, and the Kalman filter Sib Reg needs settings.
# NOTE: This fits a linear regression through the origin
# (i.e. intercept set to 0 by specifying "y ~ -1 + x")
if(tracing){print("Starting sibreg.simple.est()")}
sibreg.formula <- paste(names(model.data)[1], " ~ -1 + ",names(model.data)[2])
model.fit <- lm.fit(formula.use = sibreg.formula ,data.use=model.data)
return(c(list(model.type = "SibRegSimple",formula=sibreg.formula,var.names = names(model.data)[2], est.fn = "lm()"),
model.fit,list(fitted.values = model.fit$fitted.values.raw) ))
} # end sibreg.simple.est
sibreg.pt.fc <- function(fit.obj, data,settings=NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between sibreg.simple.est() and this fn.
#print("entering sibreg.pt.fc -----------------------------")
#print(names(fit.obj))
pt.fc <- predict.lm(fit.obj$fit.obj,newdata = data, interval= "prediction", level=0.8 )
return(pt.fc)
} # end sibreg.pt.fc
# Merge object
sibreg.simple.list <- list(estimator = sibreg.simple.est, datacheck= sibreg.simple.datacheck , pt.fc = sibreg.pt.fc)
#### COMPLEX SIBLING REGRESSION ####
sibreg.complex.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting sibreg.simple.datacheck() - Placeholder only for now")}
# make sure that years are lined up by "run year"
# (i.e. run year columns in ageclass_y and ageclass_x need to be identical
# this is the case with the sample dataset, but should build in a formal check
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> don't think so, need to test
# Zero values a problem? -> don't think so, need to test
# just a placholder step
tmp.out <- range(model.data)
return(tmp.out)
}#END sibreg.complex.datacheck
sibreg.complex.est <- function(model.data,tracing=FALSE){
# do the estimation (1 instance)
# model.data needs to have the following columns:
# Column 1 = Age X by run year
# Column 2 = Age X-1 by run year, with run year offset by 1
# Using the convention that first col always has the reponse var, in order to set up consistency with covariate models
# For example if Col 1 is Age6_2008, then Col 2 has to be Age5_2007
# column names can be any valid R column name. Outputs (e.g. coefficients) will be labelled accordingly
# NOTE: This fits a linear regression through the origin
# (i.e. intercept set to 0 by specifying "y ~ -1 + x")
if(tracing){print("Starting sibreg.simple.est()")}
sibreg.formula <- paste(names(model.data)[1], " ~ -1 + ",names(model.data)[2])
model.fit <- lm.fit(formula.use = sibreg.formula ,data.use=model.data)
return(c(list(model.type = "SibRegSimple",formula=sibreg.formula,var.names = names(model.data)[2], est.fn = "lm()"),
model.fit,list(fitted.values = model.fit$fitted.values.raw) ))
}#END sibreg.complex.est
sibreg.complex.pt.fc <- function(fit.obj, data,settings = NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
pt.fc <- predict.lm(fit.obj,newdata = data , interval= "prediction", level=0.8 )
return(pt.fc)
}#END sibreg.complex.pt.fc
# Merge object
sibreg.complex.list <- list(estimator = sibreg.complex.est, datacheck= sibreg.complex.datacheck , pt.fc = sibreg.complex.pt.fc)
#### KALMAN FILTER SIBLING REGRESSION ####
calc_multivariatePI <- function(a.vec, var.vec, n=1000){
df <- data.frame(a=a.vec, var=var.vec, n)
samples <- apply(df, 1, function(x){
rnorm(x['n'], mean = x['a'], sd=sqrt(x['var']))
})
cross_a_means <- rowMeans(samples)
a.pi <- quantile(cross_a_means, probs = c(0.1, 0.5, 0.9))
return(list(params.original=df, pi.estimates=a.pi))
}#END calc_multivariatePI
sibreg.kalman.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting sibreg.kalman.datacheck() - Placholder only for now")}
# NA values a problem? -> need to think this through and test
# Missing years a problem? -> need to think this through and test
# Zero values a problem? -> need to think this through and test
} # end sibreg.Kalman.datacheck
sibreg.kalman.est <- function(model.data,settings=list(int.avg=5),tracing=FALSE){
# do the estimation (1 instance)
# int.avg = the number of years for averaging the "recent intercept"
if(!is.null(settings)){
if(is.na(settings$int.avg)){ settings$int.avg <- 5 } # if getting NA from GUI, set to same default as NULL would use
}
if(is.null(settings)){ settings$int.avg <- 5 }
if(tracing){print("Starting sibreg.kalman.est()")}
# using functions provided by Carrie Holt, and adapting her example code
# keeping the notation consistent for now
# BUT: changed the initial values for ln.sig.e and ln.sig.w from log(1) to 10,
# and for var.a from 1 to 10 (based on trial and error)
x <- model.data[,2]
y <- model.data[,1]
###Set up initial parameters (Ts=1, but remaining initials can be adjusted)
initial<-list(lm(y~x)$coef[2], 10, 10 , lm(y~x)$coef[1], 10, 1)
names(initial)<-c("b", "ln.sig.e", "ln.sig.w", "mean.a", "var.a", "Ts")
output<-kf.rw(initial=initial,x=x,y=y)
num.a <- length(output$smoothe.mean.a)
a.vec <- output$smoothe.mean.a[(num.a-settings$int.avg+1):num.a]
var.vec <- output$smoothe.var.a[(num.a-settings$int.avg+1):num.a]
# Using mean a and mean variance across the user-specified time period
#a.sampled <- quantile(rnorm(1000,mean(a.vec),sqrt(mean(var.vec))),probs=c(0.1,0.9))
#a.lower <- a.sampled[1]
#a.upper <- a.sampled[2]
# fancier version
a.pi <- calc_multivariatePI(a.vec,var.vec,n=1000)
#print(a.pi)
a.lower <- a.pi$pi.estimates[1]
a.upper <- a.pi$pi.estimates[3]
a.out <- mean(a.vec)
coef.kf <- c( a.out , output$b, a.lower,a.upper)
names(coef.kf) <- c("a.kf","b","a.lower","a.upper")
fitted.kf <- output$smoothe.mean.a + output$b * x
model.fit <- list( coefficients= coef.kf ,coefficients.table = coef.kf ,
residuals= y - fitted.kf , # change from fitted - y to be consistent with other models
fit.obj = list(coefficients = coef.kf, output),
obs.values = model.data[,1] ,fitted.values.raw = fitted.kf,
data = model.data[,2:dim(model.data)[2]],
sigma = NA, df = NA , fstatistic = NA,
r.squared = NA , adj.r.squared = NA
)
return(c(list(model.type = "SibRegKalman",formula=NA,var.names = names(model.data)[2], est.fn = "kf.rw()"),
model.fit,list(fitted.values = fitted.kf)))
} # end sibreg.Kalman.est
sibreg.kalman.pt.fc <- function(fit.obj, data, settings=NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
# don't understand why unlist() is needed here, but without it this
# messes up the storage matrix in sub.pt.fc()
# Need to figure out how to get prediction intervals from the a and b mean and var
pt.fc <- c(unlist(fit.obj$coefficients["a.kf"] + fit.obj$coefficients["b"] * data ),
unlist(fit.obj$coefficients["a.lower"] + fit.obj$coefficients["b"] * data ),
unlist(fit.obj$coefficients["a.upper"] + fit.obj$coefficients["b"] * data ))
return(pt.fc)
} # end sibreg.pt.fc
sibreg.kalman.list <- list(estimator = sibreg.kalman.est, datacheck= sibreg.kalman.datacheck, pt.fc = sibreg.kalman.pt.fc)
#### SIMPLE LOG POWER SIBLING REGRESSION ####
# try to use (or build on) the following functions from old code:
# datafile_extract_age_class() THIS FUNCTION IS ALSO IN SIMPLE SIB REG -> CHECK IF SAME
# prepare_data_and_model_formulas() THIS FUNCTION IS ALSO IN SIMPLE SIB REG -> CHECK IF SAME
# fit function
logpower.simple.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting logpower.simple.datacheck() - Placholder only for now")}
# just a placholder step
tmp.out <- range(model.data)
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> don't think so, need to test
# Zero values a problem? -> YES -> need to agree on a replacement value (1 Fish?, 0.1 Fish?, NA) -> pull on fit?
# -> WG discussion required
return(tmp.out)
} # end logpower.simple.datacheck
logpower.simple.est <- function(model.data, settings = NULL, tracing=FALSE){
# do the estimation (1 instance)
# model.data needs to have the following columns:
# Column 1 = Age X by run year
# Column 2 = Age X-1 by run year, with run year offset by 1
# Using the convention that first col always has the reponse var, in order to set up consistency with covariate models
# For example if Col 1 is Age6_2008, then Col 2 has to be Age5_2007
# column names can be any valid R column name. Outputs (e.g. coefficients) will be labelled accordingly
# Note: settings argument doesn't do anything for now, but it needs to be a placeholder because of the way
# generic calls are set up to alternative SIbReg models, and the Kalman filter Sib Reg needs settings.
# NOTE: This fits a linear regression WITHOUT forcing the line through the origin
# (i.e. specifying model as "y ~ 1 + x") (the +1 is just for notation consistency with the simple sib reg model
if(tracing){print("Starting logpower.simple.est()")}
logpower.formula <- paste("log(",names(model.data)[1], ") ~ 1 + log(",names(model.data)[2],")") # +1
model.fit <- lm.fit(formula.use = logpower.formula ,data.use=model.data)
return(c(list(model.type = "SibRegLogPower",formula=logpower.formula,var.names = names(model.data)[2],est.fn = "lm()"),
model.fit,list(fitted.values = exp(model.fit$fitted.values.raw)) ))
} # end logpower.simple.est
logpower.pt.fc <- function(fit.obj, data, settings = NULL){
# fit.obj = object created from fitModel()
# data = data frame with one element of the list created by sub.fcdata()
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between logpower.simple.est() and this fn.
#print("entering logpower.pt.fc -----------------------------")
#print(names(fit.obj))
pt.fc.raw <- predict.lm(fit.obj$fit.obj,newdata = data , interval= "prediction", level=0.8 )
n <- length(fit.obj$fitted.values)
bias.correction <- (summary(fit.obj$fit.obj)$sigma^2 * ((n-2)/n)) / 2
pt.fc <- exp(pt.fc.raw + bias.correction) # convert back from log, including bias correction
# bias correction as per Sprugel (1983),
# adapting code from earlier version of ForecastR, which used:
# sigma.ols <- summary(model)$sigma
# n <- nrow(model.frame(model))
# sigma.squared.mle <- sigma.ols^2 * ((n-2)/n)
# round(exp(p + (sigma.squared.mle/2)))
#print(pt.fc)
return(pt.fc)
} # end sibreg.pt.fc
# Merge object
logpower.simple.list <- list(estimator = logpower.simple.est, datacheck= logpower.simple.datacheck,pt.fc =logpower.pt.fc )
#### ARIMA ####
arima.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting arima.datacheck() - Placholder only for now")}
# just a placholder step
tmp.out <- range(model.data)
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> YES! see below
# Zero values a problem? -> don't think see, need to test
# note: auto.arima assumes all the values have the same interval and no missing intervals.
return(tmp.out)
} # end arima.datacheck
arima.est <- function(model.data,settings=list(BoxCox=FALSE), tracing=FALSE){
# do the estimation (1 instance)
# model.data is a univariate time series
if(tracing){print("Starting arima.est()")}
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(model.data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("model.data")
#print(model.data)
#print("lambda fit")
#print(lambda.use)
model.fit <- forecast::auto.arima(model.data, allowmean=TRUE, allowdrift=FALSE, lambda=lambda.use)
return(c(list(model.type = "TimeSeriesArima",formula= NA ,var.names = NA,est.fn = "auto.arima()"),
model.fit,list(fit.obj=model.fit),list(obs.values = model.data, fitted.values = as.numeric(fitted(model.fit)) ) ))
} # end arima.est
arima.pt.fc <- function(fit.obj, data ,settings=list(BoxCox=FALSE)){
# fit.obj = object created from fitModel()
# data = not needed, because captured in output from auto.arima
# just feeding in an obj with NA
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between arima.est() and this fn.
# https://stats.stackexchange.com/questions/155305/how-does-r-calculate-prediction-intervals-in-the-forecast-package
#print("entering arima.pt.fc -------------")
#print(names(fit.obj))
#print("settings$BoxCox")
#print(settings$BoxCox)
#print(data)
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("data")
#print(data)
#print("lambda fc")
#print(lambda.use)
# why does ets() need/use forecast() while auto.arima uses predict()? They are both in the {forecast} #library -> need to do some searching/testing
# Also, for the ARIMA output, need to store the exact object as a list element (some replication)
# but it seems the predict() needs it
# BoxCox conversion issue: predict.Arima does not use lambda argument
# pt.fc <- as.numeric(predict(fit.obj,n.ahead=1,lambda=lambda.use)$pred )
# do it via forecast(), which is the same approach used for exp smooth fc via ets()
fc.out <- forecast::forecast(fit.obj$fit.obj, h=1,lambda=lambda.use,biasadj=TRUE,level=80)
pt.fc <- as.numeric(c(fc.out$mean,fc.out$lower, fc.out$upper))
#why still need to back convert? The forecast() call already uses lambda???
#if(settings$BoxCox){pt.fc <- InvBoxCox(pt.fc,lambda.use) }
#print(pt.fc)
return(pt.fc)
} # end arima.pt.fc
# Merge object
arima.list <- list(estimator = arima.est, datacheck= arima.datacheck,pt.fc =arima.pt.fc )
#### EXP SMOOTHING ####
expsmooth.datacheck <- function(model.data,tracing=FALSE){
# verify that all the requires components are there
# and check for any special values that might crash the estimate
if(tracing){print("Starting expsmooth.datacheck() - Placholder only for now")}
# just a placholder step
tmp.out <- range(model.data)
# NA values a problem? -> don't think see, need to test
# Missing years a problem? -> YES! see below
# Zero values a problem? -> don't think see, need to test
# note: ets() assumes all the values have the same interval and no missing intervals.
return(tmp.out)
} # end expsmooth.datacheck
expsmooth.est <- function(model.data,settings=list(BoxCox=FALSE), tracing=FALSE){
# do the estimation (1 instance)
# model.data is a univariate time series
if(tracing){print("Starting expsmooth.est()")}
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(model.data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("model.data")
#print(model.data)
#print("lambda fit")
#print(lambda.use)
model.fit <- forecast::ets(model.data, model="ZZZ", lambda=lambda.use)
return(c(list(model.type = "TimeSeriesExpSmooth",formula= NA ,var.names = NA,est.fn = "ets()"),
model.fit ,list(fit.obj=model.fit),list(obs.values = model.data, fitted.values = as.numeric(fitted(model.fit)) ) ))
} # end expsmooth.est
expsmooth.pt.fc <- function(fit.obj, data, settings=list(BoxCox=FALSE)){
# fit.obj = object created from fitModel()
# data = not needed, because captured in output from ets()
# just feeding in an obj with NA
# https://stats.stackexchange.com/questions/155305/how-does-r-calculate-prediction-intervals-in-the-forecast-package
# This has a temporary patch below
# fit.obj$fit.obj should not be necessary
# -> should fix list object handling between arima.est() and this fn.
#print("entering arima.pt.fc -------------")
#print(names(fit.obj))
if(settings$BoxCox){lambda.use <- forecast::BoxCox.lambda(data, method="guerrero") }
if(!settings$BoxCox){lambda.use <- NULL }
#print("data")
#print(data)
#print("lambda fc")
#print(lambda.use)
fc.out <- forecast::forecast(fit.obj$fit.obj, h=1,lambda=lambda.use,biasadj=TRUE,level=80)
pt.fc <- as.numeric(c(fc.out$mean,fc.out$lower, fc.out$upper))
#why still need to back convert? The forecast() call already uses lambda???
#if(settings$BoxCox){pt.fc <- InvBoxCox(pt.fc,lambda.use) }
#print(lambda.use)
#print(pt.fc)
return(pt.fc)
} # end expsmooth.pt.fc
# Merge object
expsmooth.list <- list(estimator = expsmooth.est, datacheck= expsmooth.datacheck,pt.fc =expsmooth.pt.fc )
#### MERGING ALL THE MODELS ####
estimation.functions <- list(Naive = naive.list,
ReturnRate = rate.list,
SibRegSimple = sibreg.simple.list,
SibRegKalman = sibreg.kalman.list,
SibRegLogPower = logpower.simple.list,
TimeSeriesArima = arima.list,
TimeSeriesExpSmooth = expsmooth.list,
SibRegComplex=sibreg.complex.list)
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