Description Usage Arguments Value Examples

View source: R/forecast_multivariate.R

A function to estimate multivariate forecasts out-of-sample. Methods available include: vector auto-regression, linear regression, lasso regression, ridge regression, elastic net, random forest, tree-based gradient boosting machine, and single-layer neural network. See package website for most up-to-date list of available models.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 | ```
forecast_multivariate(
Data,
forecast.dates,
target,
horizon,
method,
rolling.window = NA,
freq,
lag.variables = NULL,
lag.n = NULL,
outlier.clean = FALSE,
outlier.variables = NULL,
outlier.bounds = c(0.05, 0.95),
outlier.trim = FALSE,
outlier.cross_section = FALSE,
impute.missing = FALSE,
impute.method = "kalman",
impute.variables = NULL,
impute.verbose = FALSE,
reduce.data = FALSE,
reduce.variables = NULL,
reduce.ncomp = NULL,
reduce.standardize = TRUE,
parallel.dates = NULL,
return.models = FALSE,
return.data = FALSE
)
``` |

`Data` |
data.frame: data frame of target variable, exogenous variables, and observed date (named 'date'); may alternatively be a |

`forecast.dates` |
date: dates forecasts are created |

`target` |
string: column name in Data of variable to forecast |

`horizon` |
int: number of periods into the future to forecast |

`method` |
string: methods to use |

`rolling.window` |
int: size of rolling window, NA if expanding window is used |

`freq` |
string: time series frequency; day, week, month, quarter, year |

`lag.variables` |
string: vector of variables to lag each time step, if lag.n is not null then the default is all non-date variables |

`lag.n` |
int: number of lags to create |

`outlier.clean` |
boolean: if TRUE then clean outliers |

`outlier.variables` |
string: vector of variables to purge of outlier, default is all but 'date' column |

`outlier.bounds` |
double: vector of winsorizing minimum and maximum bounds, c(min percentile, max percentile) |

`outlier.trim` |
boolean: if TRUE then replace outliers with NA instead of winsorizing bound |

`outlier.cross_section` |
boolean: if TRUE then remove outliers based on cross-section (row-wise) instead of historical data (column-wise) |

`impute.missing` |
boolean: if TRUE then impute missing values |

`impute.method` |
string: select which method to use from the imputeTS package; 'interpolation', 'kalman', 'locf', 'ma', 'mean', 'random', 'remove','replace', 'seadec', 'seasplit' |

`impute.variables` |
string: vector of variables to impute missing values, default is all numeric columns |

`impute.verbose` |
boolean: show start-up status of impute.missing.routine |

`reduce.data` |
boolean: if TRUE then reduce dimension |

`reduce.variables` |
string: vector of variables to impute missing values, default is all numeric columns |

`reduce.ncomp` |
int: number of factors to create |

`reduce.standardize` |
boolean: normalize variables (mean zero, variance one) before estimating factors |

`parallel.dates` |
int: the number of cores available for parallel estimation |

`return.models` |
boolean: if TRUE then return list of models estimated each forecast.date |

`return.data` |
boolean: if True then return list of information.set for each forecast.date |

data.frame with a row for each forecast by model and forecasted date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 | ```
# simple time series
A = c(1:100) + rnorm(100)
B = c(1:100) + rnorm(100)
C = c(1:100) + rnorm(100)
date = seq.Date(from = as.Date('2000-01-01'), by = 'month', length.out = 100)
Data = data.frame(date = date, A, B, C)
# run forecast_univariate
forecast.multi =
forecast_multivariate(
Data = Data,
target = 'A',
forecast.dates = tail(Data$date,5),
method = c('ols','var'),
horizon = 1,
# information set
rolling.window = NA,
freq = 'month',
# data prep
lag.n = 4,
outlier.clean = TRUE,
impute.missing = TRUE)
``` |

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