tsbacktest.tsissm.spec | R Documentation |
Generates an expanding window walk forward backtest.
## S3 method for class 'tsissm.spec' tsbacktest( object, start = floor(length(object$target$y_orig)/2), end = length(object$target$y_orig), h = 1, estimate_every = 1, FUN = NULL, alpha = NULL, solver = "nlminb", autodiff = TRUE, autoclean = FALSE, trace = FALSE, ... )
object |
an object of class “tsissm.spec”. |
start |
numeric data index from which to start the backtest. |
end |
numeric data index on which to end the backtest. The backtest will end 1 period before that date in order to have at least 1 out of sample value to compare against. |
h |
forecast horizon. As the expanding window approaches the “end”, the horizon will automatically shrink to the number of available out of sample periods. |
estimate_every |
number of periods at which the model is re-estimated and new predictions are generated (defaults to 1). |
FUN |
optional function which is applied across all horizons for each draw (i.e. operating on each row of the distribution which represents a single path). For example, using the max function will return the distribution of the maximum across all horizons, whereas sum (for flow variables) would represent the aggregate value distribution. The P50 of this distribution is returned and aligned with the terminal horizon for each re-estimation period, and if alpha is not NULL, then the quantiles of this distributions with respect to the coverage (alpha) chosen. |
alpha |
optional numeric vector of coverage rates for which to calculate the quantiles. |
solver |
solver to use. |
autodiff |
whether to use automatic differentiation for estimation. This makes use of the tsissmad package. |
autoclean |
whether to perform automatic cleaning on the training data prior to prediction as per the ‘auto_clean’ function in the tsaux package. |
trace |
whether to show the progress bar. The user is expected to have set up appropriate handlers for this using the “progressr” package. |
... |
additional arguments passed to the “auto_clean” function. |
A list with the following data.tables:
prediction : the backtest table with forecasts and actuals
metrics: a summary performance table showing metrics by forecast horizon (MAPE, MSLRE, BIAS and MIS if alpha was not NULL).
The function can use parallel functionality as long as the user has
set up a plan
using the future package.
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