R/classical.R

In tidyverts/tsibblestats: Feature Extraction and Statistics for Time Series

specials_classical <- fabletools::new_specials(
  season = function(period = NULL){
    period <- get_frequencies(period, self$data, .auto = "smallest")

    if(length(period) > 1){
      warn("Multiple seasonal decomposition is not supported by classical decomposition")
    }
    period[[1]]
  },
  .required_specials = c("season")
)

train_classical <- function(.data, formula, specials,
                            type = c("additive", "multiplicative"), ...){
  stopifnot(is_tsibble(.data))

  type <- match.arg(type)

  resp <- measured_vars(.data)
  y <- .data[[resp]]
  m <- specials$season[[1]]

  dcmp_op <- switch(type,
                    additive = "+",
                    multiplicative = "*")
  cl_sadj <- call2(switch(dcmp_op, `+` = "-", "/"), sym(resp), sym("seasonal"))

  dcmp <- decompose(ts(y, frequency = m), type = type, ...)[c("trend", "seasonal", "random")]

  dcmp <- .data %>%
    mutate(
      !!!map(dcmp, as.numeric),
      season_adjust = !!cl_sadj
    )

  seasonalities <- list(
    seasonal = list(period = m, base = switch(dcmp_op, `+` = 0, 1))
  )

  aliases <- list2(
    !!resp := reduce(syms(c("trend", "seasonal", "random")),
                     function(x,y) call2(dcmp_op, x, y)),
    season_adjust = cl_sadj
  )

  structure(
    list(decomposition = dcmp,
         response = resp, method = "Classical",
         seasons = seasonalities, aliases = aliases
    ),
    class = "classical_decomposition"
  )
}

#' @importFrom fabletools components as_dable
#' @export
components.classical_decomposition <- function(object, ...){
  as_dable(object[["decomposition"]], response = !!sym(object[["response"]]),
           method = object[["method"]], seasons = object[["seasons"]],
           aliases = object[["aliases"]])
}

#' @importFrom fabletools model_sum
#' @export
model_sum.classical_decomposition <- function(x){
  "DECOMPOSITION"
}

#' Classical Seasonal Decomposition by Moving Averages
#'
#' @inherit stats::decompose description details
#'
#' @param formula Decomposition specification (see "Specials" section).
#' @param ... Other arguments passed to [`stats::decompose()`].
#' @inheritParams stats::decompose
#'
#' @return A [`fabletools::dable()`] containing the decomposed trend, seasonality
#' and remainder from the classical decomposition.
#'
#' @section Specials:
#'
#' \subsection{season}{
#' The `season` special is used to specify seasonal attributes of the decomposition.
#' \preformatted{
#' season(period = NULL)
#' }
#'
#' \tabular{ll}{
#'   `period`   \tab The periodic nature of the seasonality. This can be either a number indicating the number of observations in each seasonal period, or text to indicate the duration of the seasonal window (for example, annual seasonality would be "1 year").
#' }
#' }
#'
#' @examples
#' as_tsibble(USAccDeaths) %>%
#'   model(classical_decomposition(value)) %>%
#'   components()
#'
#' as_tsibble(USAccDeaths) %>%
#'   model(classical_decomposition(value ~ season(12), type = "mult")) %>%
#'   components()
#'
#' @importFrom stats ts decompose
#' @importFrom fabletools new_model_class new_model_definition
#' @export
classical_decomposition <- function(formula, type = c("additive", "multiplicative"), ...){
  dcmp <- new_model_class("Classical decomposition",
                                  train = train_classical, specials = specials_classical,
                                  check = all_tsbl_checks)
  new_model_definition(dcmp, !!enquo(formula), type = type, ...)
}