modeltime: exp_smoothing – R documentation

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exp_smoothing

General Interface for Exponential Smoothing State Space Models

Description

exp_smoothing() is a way to generate a specification of an Exponential Smoothing model before fitting and allows the model to be created using different packages. Currently the only package is forecast.

Usage

exp_smoothing(
  mode = "regression",
  seasonal_period = NULL,
  error = NULL,
  trend = NULL,
  season = NULL,
  damping = NULL
)

Arguments

`mode`	A single character string for the type of model. The only possible value for this model is "regression".
`seasonal_period`	A seasonal frequency. Uses "auto" by default. A character phrase of "auto" or time-based phrase of "2 weeks" can be used if a date or date-time variable is provided. See Fit Details below.
`error`	The form of the error term: "auto", "additive", or "multiplicative". If the error is multiplicative, the data must be non-negative.
`trend`	The form of the trend term: "auto", "additive", "multiplicative" or "none".
`season`	The form of the seasonal term: "auto", "additive", "multiplicative" or "none"..
`damping`	Apply damping to a trend: "auto", "damped", or "none".

Details

The data given to the function are not saved and are only used to determine the mode of the model. For exp_smoothing(), the mode will always be "regression".

The model can be created using the fit() function using the following engines:

"ets" (default) - Connects to forecast::ets()

Engine Details

The standardized parameter names in modeltime can be mapped to their original names in each engine:

modeltime	forecast::ets
seasonal_period()	ts(frequency)
error(), trend(), season()	model ('ZZZ')
damping()	damped (NULL)

Other options can be set using set_engine().

ets (default engine)

The engine uses forecast::ets().

Function Parameters:

## function (y, model = "ZZZ", damped = NULL, alpha = NULL, beta = NULL, gamma = NULL, 
##     phi = NULL, additive.only = FALSE, lambda = NULL, biasadj = FALSE, 
##     lower = c(rep(1e-04, 3), 0.8), upper = c(rep(0.9999, 3), 0.98), opt.crit = c("lik", 
##         "amse", "mse", "sigma", "mae"), nmse = 3, bounds = c("both", "usual", 
##         "admissible"), ic = c("aicc", "aic", "bic"), restrict = TRUE, allow.multiplicative.trend = FALSE, 
##     use.initial.values = FALSE, na.action = c("na.contiguous", "na.interp", 
##         "na.fail"), ...)

The main arguments are model and damped are defined using:

error() = "auto", "additive", and "multiplicative" are converted to "Z", "A", and "M"
trend() = "auto", "additive", "multiplicative", and "none" are converted to "Z","A","M" and "N"
season() = "auto", "additive", "multiplicative", and "none" are converted to "Z","A","M" and "N"
damping() - "auto", "damped", "none" are converted to NULL, TRUE, FALSE

By default, all arguments are set to "auto" to perform automated Exponential Smoothing using in-sample data following the underlying forecast::ets() automation routine.

Other options and argument can be set using set_engine().

Parameter Notes:

xreg - This model is not set up to use exogenous regressors. Only univariate models will be fit.

Fit Details

Date and Date-Time Variable

It's a requirement to have a date or date-time variable as a predictor. The fit() interface accepts date and date-time features and handles them internally.

fit(y ~ date)

Seasonal Period Specification

The period can be non-seasonal (seasonal_period = 1 or "none") or seasonal (e.g. seasonal_period = 12 or seasonal_period = "12 months"). There are 3 ways to specify:

seasonal_period = "auto": A period is selected based on the periodicity of the data (e.g. 12 if monthly)
seasonal_period = 12: A numeric frequency. For example, 12 is common for monthly data
seasonal_period = "1 year": A time-based phrase. For example, "1 year" would convert to 12 for monthly data.

Univariate:

For univariate analysis, you must include a date or date-time feature. Simply use:

Formula Interface (recommended): fit(y ~ date) will ignore xreg's.
XY Interface: fit_xy(x = data[,"date"], y = data$y) will ignore xreg's.

Multivariate (xregs, Exogenous Regressors)

This model is not set up for use with exogenous regressors.

Examples

library(dplyr)
library(parsnip)
library(rsample)
library(timetk)
library(modeltime)

# Data
m750 <- m4_monthly %>% filter(id == "M750")
m750

# Split Data 80/20
splits <- initial_time_split(m750, prop = 0.8)

# ---- AUTO ETS ----

# Model Spec - The default parameters are all set
# to "auto" if none are provided
model_spec <- exp_smoothing() %>%
    set_engine("ets")

# Fit Spec
model_fit <- model_spec %>%
    fit(log(value) ~ date, data = training(splits))
model_fit


# ---- STANDARD ETS ----

# Model Spec
model_spec <- exp_smoothing(
        seasonal_period  = 12,
        error            = "multiplicative",
        trend            = "additive",
        season           = "multiplicative"
    ) %>%
    set_engine("ets")

# Fit Spec
model_fit <- model_spec %>%
    fit(log(value) ~ date, data = training(splits))
model_fit

modeltime

The Tidymodels Extension for Time Series Modeling

v0.5.1

MIT + file LICENSE

Authors

Matt Dancho [aut, cre], Business Science [cph]

Initial release