inst/code_paper/code_sec_6.R

In NorskRegnesentral/shapr: Prediction Explanation with Dependence-Aware Shapley Values

library(xgboost)
library(data.table)
library(shapr)

path0 <- "https://raw.githubusercontent.com/NorskRegnesentral/shapr/refs/heads/"
path <- paste0(path0,"master/inst/code_paper/")
x_full <- fread(paste0(path, "x_full.csv"))

data_fit <- x_full[seq_len(729), ]

model_ar <- ar(data_fit$temp, order = 2)

phi0_ar <- rep(mean(data_fit$temp), 3)

explain_forecast(
  model = model_ar,
  y = x_full[, "temp"],
  train_idx = 2:729,
  explain_idx = 730:731,
  explain_y_lags = 2,
  horizon = 3,
  approach = "empirical",
  phi0 = phi0_ar,
  group_lags = FALSE
)


data_fit <- x_full[seq_len(729), ]
model_arimax <- arima(data_fit$temp, order = c(2, 0, 0), xreg = data_fit$windspeed)
phi0_arimax <- rep(mean(data_fit$temp), 2)

explain_forecast(
  model = model_arimax,
  y = x_full[, "temp"],
  xreg = x_full[, "windspeed"],
  train_idx = 2:728,
  explain_idx = 729,
  explain_y_lags = 2,
  explain_xreg_lags = 1,
  horizon = 2,
  approach = "empirical",
  phi0 = phi0_arimax,
  group_lags = TRUE
)