Autoregressive Forecasting (Recursive Ensembles) • modeltime.ensemble

What is a Recursive Model?

A recursive model uses predictions to generate new values for independent features. These features are typically lags used in autoregressive models.

Why is Recursive needed for Autoregressive Models?

It’s important to understand that a recursive model is only needed when using lagged features with a Lag Size < Forecast Horizon. When the lag length is less than the forecast horizon, a problem exists were missing values (NA) are generated in the future data.

A solution that recursive() implements is to iteratively fill these missing values in with values generated from predictions. This technique can be used for:

Single ensemble recursive predictions - Effectively turning any ensemble model into an Autoregressive (AR) model
Panel ensemble recursive predictions - In many situations we need to forecast more than one time series. We can batch-process these with 1 model by processing time series groups as panels. This technique can be extended to recursive forecasting for scalable models (1 model that predicts many time series).

Here’s an example of a panel forecast that uses a recursive ensemble with Elastic Net and XGBoost models.

Single Ensemble Recursive Example

Use single ensembles to forecast a single time series

First, we need to load the necessary libraries:

library(modeltime.ensemble)
library(modeltime)
library(tidymodels)
library(glmnet)
library(xgboost)
library(dplyr)
library(lubridate)
library(timetk)

Next, we select a forecast horizon of 24 days and extend the data frame with the function future_frame(). We do this to create a future dataset, which we can distinguish because its values will be NA.

FORECAST_HORIZON <- 24

m750_extended <- m750 %>%
    group_by(id) %>%
    future_frame(
        .length_out = FORECAST_HORIZON,
        .bind_data  = TRUE
    ) %>%
    ungroup()

The next step is to create a Transformer Function where we create the lagged variables that our model will use. Notice that we create lags up to our forecast horizon. We could also include rolling features and any number of other “engineered features” based on lags.

lag_transformer <- function(data){
    data %>%
        tk_augment_lags(value, .lags = 1:FORECAST_HORIZON)
}

# Data Preparation
m750_lagged <- m750_extended %>% lag_transformer()
m750_lagged

#> # A tibble: 330 × 27
#>    id    date       value value_lag1 value_lag2 value_lag3 value_lag4 value_lag5
#>    <fct> <date>     <dbl>      <dbl>      <dbl>      <dbl>      <dbl>      <dbl>
#>  1 M750  1990-01-01  6370         NA         NA         NA         NA         NA
#>  2 M750  1990-02-01  6430       6370         NA         NA         NA         NA
#>  3 M750  1990-03-01  6520       6430       6370         NA         NA         NA
#>  4 M750  1990-04-01  6580       6520       6430       6370         NA         NA
#>  5 M750  1990-05-01  6620       6580       6520       6430       6370         NA
#>  6 M750  1990-06-01  6690       6620       6580       6520       6430       6370
#>  7 M750  1990-07-01  6000       6690       6620       6580       6520       6430
#>  8 M750  1990-08-01  5450       6000       6690       6620       6580       6520
#>  9 M750  1990-09-01  6480       5450       6000       6690       6620       6580
#> 10 M750  1990-10-01  6820       6480       5450       6000       6690       6620
#> # ℹ 320 more rows
#> # ℹ 19 more variables: value_lag6 <dbl>, value_lag7 <dbl>, value_lag8 <dbl>,
#> #   value_lag9 <dbl>, value_lag10 <dbl>, value_lag11 <dbl>, value_lag12 <dbl>,
#> #   value_lag13 <dbl>, value_lag14 <dbl>, value_lag15 <dbl>, value_lag16 <dbl>,
#> #   value_lag17 <dbl>, value_lag18 <dbl>, value_lag19 <dbl>, value_lag20 <dbl>,
#> #   value_lag21 <dbl>, value_lag22 <dbl>, value_lag23 <dbl>, value_lag24 <dbl>

We divide the data set into training dataset and future dataset:

train_data <- m750_lagged %>%
    filter(!is.na(value)) %>%
    tidyr::drop_na()

future_data <- m750_lagged %>%
    filter(is.na(value))

Next, we are going to create two models that we will then join into an ensemble.

The first model is a Linear Regression model
The second model is a MARS model

In a real scenario, we would typically do a pre-selection work where we would analyze more models and keep those with better performance to make the ensemble.

model_fit_lm <- linear_reg() %>%
    set_engine("lm") %>%
    fit(value ~ ., data = train_data %>% select(-id))

model_fit_mars <- mars("regression") %>%
    set_engine("earth", endspan = 24) %>%
    fit(value ~ ., data = train_data %>% select(-id))

The next step is to create an ensemble of type mean (in which the predictions of the two models will be averaged) and right after that we use the recursive() function to create the recursive model.

The recursive() function tells the ensemble to use recursion during the prediction process
The recursive model uses the Transformer Function and train_tail to generate transformations (e.g. lags) during the prediction process

You can consult all the information of the function by typing in the console ?modeltime::recursive.

recursive_ensemble <- modeltime_table(
    model_fit_lm,
    model_fit_mars
) %>%
    ensemble_average(type = "mean") %>%
    recursive(
        transform  = lag_transformer,
        train_tail = tail(train_data, FORECAST_HORIZON)
    )

recursive_ensemble

#> Recursive [modeltime ensemble]
#> 
#> ── Modeltime Ensemble ───────────────────────────────────────────
#> Ensemble of 2 Models (MEAN) 
#> 
#> # Modeltime Table
#> # A tibble: 2 × 3
#>   .model_id .model   .model_desc
#>       <int> <list>   <chr>      
#> 1         1 <fit[+]> LM         
#> 2         2 <fit[+]> EARTH

Next, we add the recursive ensemble to the modeltime table, which organizes one or more models prior to forecasting.

model_tbl <- modeltime_table(
    recursive_ensemble
)

model_tbl

#> # Modeltime Table
#> # A tibble: 1 × 3
#>   .model_id .model .model_desc                        
#>       <int> <list> <chr>                              
#> 1         1 <>     RECURSIVE ENSEMBLE (MEAN): 2 MODELS

Finally, we predict over our dataset and visualize the predictions:

model_tbl %>%
    modeltime_forecast(
        new_data    = future_data,
        actual_data = m750
    ) %>%
    plot_modeltime_forecast(
        .interactive        = FALSE,
        .conf_interval_show = FALSE,
    )

Panel Ensemble Recursive Example

Use panel ensembles to batch forecast multimple time series

This is a more complex extension of the previous example for forecasting multiple time series in batches. We’ll showcase a Weighted Ensemble with XGBoost and GLMNET.

First, we select a forecast horizon of 24 days and extend the data frame with the function future_frame(). We do this to create a future dataset, which we can distinguish because its values will be NA.

FORECAST_HORIZON <- 24

m4_extended <- m4_monthly %>%
    group_by(id) %>%
    future_frame(
        .length_out = FORECAST_HORIZON,
        .bind_data  = TRUE
    ) %>%
    ungroup()

Then we create a Transformer Function that will be in charge of generating the lags for each time series up to each forecasting horizon. Note that this time we use grouped lags to generate lags by group. This is important when we have multiple time series. Make sure to ungroup after the lagging process.

lag_transformer_grouped <- function(data){
    data %>%
        group_by(id) %>%
        tk_augment_lags(value, .lags = 1:FORECAST_HORIZON) %>%
        ungroup()
}

Then, we apply the function and divide the data into training and future set:

m4_lags <- m4_extended %>%
    lag_transformer_grouped()

m4_lags

#> # A tibble: 1,670 × 27
#>    id    date       value value_lag1 value_lag2 value_lag3 value_lag4 value_lag5
#>    <fct> <date>     <dbl>      <dbl>      <dbl>      <dbl>      <dbl>      <dbl>
#>  1 M1    1976-06-01  8000         NA         NA         NA         NA         NA
#>  2 M1    1976-07-01  8350       8000         NA         NA         NA         NA
#>  3 M1    1976-08-01  8570       8350       8000         NA         NA         NA
#>  4 M1    1976-09-01  7700       8570       8350       8000         NA         NA
#>  5 M1    1976-10-01  7080       7700       8570       8350       8000         NA
#>  6 M1    1976-11-01  6520       7080       7700       8570       8350       8000
#>  7 M1    1976-12-01  6070       6520       7080       7700       8570       8350
#>  8 M1    1977-01-01  6650       6070       6520       7080       7700       8570
#>  9 M1    1977-02-01  6830       6650       6070       6520       7080       7700
#> 10 M1    1977-03-01  5710       6830       6650       6070       6520       7080
#> # ℹ 1,660 more rows
#> # ℹ 19 more variables: value_lag6 <dbl>, value_lag7 <dbl>, value_lag8 <dbl>,
#> #   value_lag9 <dbl>, value_lag10 <dbl>, value_lag11 <dbl>, value_lag12 <dbl>,
#> #   value_lag13 <dbl>, value_lag14 <dbl>, value_lag15 <dbl>, value_lag16 <dbl>,
#> #   value_lag17 <dbl>, value_lag18 <dbl>, value_lag19 <dbl>, value_lag20 <dbl>,
#> #   value_lag21 <dbl>, value_lag22 <dbl>, value_lag23 <dbl>, value_lag24 <dbl>

We split into training data and future data.

train_data <- m4_lags %>%
    tidyr::drop_na()

future_data <- m4_lags %>%
    filter(is.na(value))

Next, we are going to create two models that we will then join into an ensemble.

The first model is an Elastic Net (GLMNET) model: An elastic net applies is an improved version of linear regression that applies a penalty to the lagged regressors preventing bad lags from dominating the results. This can show an improvement versus a standard Linear Regression.
The second model is an XGBOOST model: An xgboost model is a tree-based algorithm that is very different in how it models vs a linear model. It’s much better for non-linear data (e.g. seasonality).

model_fit_glmnet <- linear_reg(penalty = 1) %>%
    set_engine("glmnet") %>%
    fit(value ~ ., data = train_data)

model_fit_xgboost <- boost_tree("regression", learn_rate = 0.35) %>%
    set_engine("xgboost") %>%
    fit(value ~ ., data = train_data)

The next step is to create an ensemble. We’ll use a Weighted Ensemble (ensemble_weighted()) with a 60/40 loading. Right after that we use the recursive() function to create the recursive model. Unlike the previous example:

We have to pass to the recursive function the argument id specifying ID’s for each time series group
We have to use the panel_tail() function to create the train_tail by group.

recursive_ensemble_panel <- modeltime_table(
    model_fit_glmnet,
    model_fit_xgboost
) %>%
    ensemble_weighted(loadings = c(4, 6)) %>%
    recursive(
        transform  = lag_transformer_grouped,
        train_tail = panel_tail(train_data, id, FORECAST_HORIZON),
        id         = "id"
    )

recursive_ensemble_panel

#> Recursive [modeltime ensemble]
#> 
#> ── Modeltime Ensemble ───────────────────────────────────────────
#> Ensemble of 2 Models (WEIGHTED) 
#> 
#> # Modeltime Table
#> # A tibble: 2 × 4
#>   .model_id .model   .model_desc .loadings
#>       <int> <list>   <chr>           <dbl>
#> 1         1 <fit[+]> GLMNET            0.4
#> 2         2 <fit[+]> XGBOOST           0.6

Next, we add the recursive ensemble to the modeltime table, which organizes one or more models prior to forecasting.

model_tbl <- modeltime_table(
    recursive_ensemble_panel
)

model_tbl

#> # Modeltime Table
#> # A tibble: 1 × 3
#>   .model_id .model .model_desc                            
#>       <int> <list> <chr>                                  
#> 1         1 <>     RECURSIVE ENSEMBLE (WEIGHTED): 2 MODELS

Finally, we forecast over our dataset and visualize the forecast.

model_tbl %>%
    modeltime_forecast(
        new_data    = future_data,
        actual_data = m4_lags,
        keep_data   = TRUE
    ) %>%
    group_by(id) %>%
    plot_modeltime_forecast(
        .interactive        = FALSE,
        .conf_interval_show = FALSE,
        .facet_ncol         = 2
    )

Summary

Recursive modeling can be applied to ensembles. But, this is just a small portion of everything that can be done…. If you want to get all the details, read on!

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