The Algorithm Pattern Sequence based Forecasting (PSF) was first proposed by Martinez Alvarez, et al., 2008 and then modified and suggested improvement by Martinez Alvarez, et al., 2011. The technical detailes are mentioned in referenced articles. PSF algorithm consists of various statistical operations like:
This section discusses about the examples to introduce the use of the PSF package and to compare it with auto.arima() and ets() functions, which are well accepted functions in the R community working over time series forecasting techniques. The data used in this example are ’nottem’ and ’sunspots’ which are the standard time series dataset available in R. The ’nottem’ dataset is the average air temperatures at Nottingham Castle in degrees Fahrenheit, collected for 20 years, on monthly basis.
Similarly, ’sunspots’ dataset is mean relative sunspot numbers from 1749 to 1983, measured on monthly basis. First of all, the psf() function from PSF package is used to forecast the future values. For both datasets, all the recorded values except for the final year are considered as training data, and the last year is used for testing purposes. The predicted values for final year with psf() function for both datasets are now discussed.
Download the Package and install with instruction:
library(PSF)
a <- psf(data = nottem, n.ahead = 12) a
b <- psf(data = sunspots, n.ahead = 48) b
To represent the prediction performance in plot format, the psf_plot() function is used as shown in the following code.
psf_plot(data = nottem, predictions = a$predictions)
psf_plot(data = sunspots, predictions = b$predictions)
psf()
with auto.arima()
and ets()
functions:Example below shows the comparisons for psf()
, auto.arima()
and ets()
functions when using the Root
Mean Square Error (RMSE) parameter as metric, for ’sunspots’ dataset. In order to
avail more accurate and robust comparison results, error values are calculated for 5 times and the mean value of error values for methods under comparison are also shown. These values clearly state that 'psf()' function is able to outperform the comparative time series prediction
methods. Additionally, the reader might want to refer to the results published in the original
work Martinez Alvarez et al. (2011), in which it was shown that PSF outperformed many different
methods when applied to electricity prices and demand forecasting.
library(PSF) library(forecast) options(warn=-1) ## Consider data `sunspots` with removal of last years's readings # Training Data x <- sunspots[1:2772] # Test Data y <- sunspots[2773:2820] PSF <- NULL ARIMA <- NULL ETS <- NULL for(i in 1:5) { set.seed(i) # for PSF a <- psf(data = x, n.ahead = 48)$predictions # for ARIMA b <- forecast(auto.arima(x), 48)$mean # for ets c <- as.numeric(forecast(ets(x), 48)$mean) ## For Error Calculations # Error for PSF PSF[i] <- sqrt(mean((y - a)^2)) # Error for ARIMA ARIMA[i] <- sqrt(mean((y - b)^2)) # Error for ETS ETS[i] <- sqrt(mean((y - c)^2)) } ## Error values for PSF PSF mean(PSF) ## Error values for ARIMA ARIMA mean(ARIMA) ## Error values for ETS ETS mean(ETS)
Martínez-Álvarez, F., Troncoso, A., Riquelme, J.C. and Ruiz, J.S.A., 2008, December. LBF: A labeled-based forecasting algorithm and its application to electricity price time series. In Data Mining, 2008. ICDM’08. Eighth IEEE International Conference on (pp. 453-461). IEEE.
Martinez Alvarez, F., Troncoso, A., Riquelme, J.C. and Aguilar Ruiz, J.S., 2011. Energy time series forecasting based on pattern sequence similarity. Knowledge and Data Engineering, IEEE Transactions on, 23(8), pp.1230-1243.
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