Current Version: 5.1 Date: 2021-01
Authors: Rebecca Pontes Salles (rebeccapsalles@acm.org) and Eduardo Ogasawara (eogasawara@ieee.org)
Description: Functions for defining and conducting a time series prediction process including pre(post)processing, decomposition, modeling, prediction, and accuracy assessment. The generated models and their yielded prediction errors can be used for benchmarking other time series prediction methods and for creating a demand for the refinement of such methods. For this purpose, benchmark data from prediction competitions may be used.
Available at CRAN: https://CRAN.R-project.org/package=TSPred
Reference manual: TSPred.pdf
Acknowledgements: The authors thank CNPq, CAPES, and FAPERJ for partially sponsoring this research.
#Install TSPred package
> install.packages("TSPred")
#Load TSPred package
> library("TSPred")
#loading CATS dataset
> data("CATS")
#defining the time series application
> tspred_arima <- tspred( subsetting = subsetting(test_len = 20),
modeling = ARIMA(),
evaluating = list(MSE = MSE(),AIC = AIC()) )
#performing the prediction application and obtaining results
> tspred_arima_res <- workflow( tspred_arima, data = CATS[5] )
#Obtaining objects of the processing class
> proc_subset <- subsetting( test_len = 20 )
> proc_bct <- BCT()
> proc_wt <- WT( level = 1, filter = "bl14" )
> proc_sw <- SW( window_len = 6 )
> proc_mm <- MinMax()
#Obtaining objects of the modeling class
> modl_nnet <- NNET( size = 5, sw = proc_sw, proc = list(MM = proc_mm) )
#Obtaining objects of the evaluating class
> eval_mse <- MSE()
#Defining a time series prediction process
> tspred_mlm <- tspred( subsetting = proc_subset,
processing = list(BCT = proc_bct, WT = proc_wt),
modeling = modl_nnet,
evaluating = list(MSE = eval_mse) )
#Running the time series prediction process and obtaining results
> tspred_mlm_res <- tspred_mlm %>%
subset(data = CATS[5]) %>%
preprocess(prep_test = TRUE) %>%
train() %>%
predict(input_test_data = TRUE) %>%
postprocess() %>%
evaluate()
#Benchmarking tspred objects
> bmrk_results <- benchmark( tspred_arima_res, list(tspred_mlm_res) )
#Subclass my.model
> my.model <- function(train_par=NULL, pred_par=NULL){
MLM(train_func = my.model.func, train_par = c(train_par),
pred_func = my.model.pred.func, pred_par = c(pred_par),
method = "Name of my model", subclass = "my.model" )
}
#Obtaining an instance of the subclass my.model
> model <- my.model(train_par = list(par1="a", par2="b"), pred_par = list(par3="c"))
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