Getting Started with Modeltime
Source:vignettes/gettingstartedwithmodeltime.Rmd
gettingstartedwithmodeltime.Rmd
Forecasting with tidymodels
made easy! This short tutorial shows how you can use:

Modeltime models like
arima_reg()
,arima_boost()
,exp_smoothing()
,prophet_reg()
,prophet_boost()
, and more 
Parsnip models like
linear_reg()
,mars()
,svm_rbf()
,rand_forest()
,boost_tree()
and more
…to perform classical time series analysis and machine learning in one framework! See “Model List” for the full list of modeltime
models.
Quickstart Video
For those that prefer video tutorials, we have an 11minute YouTube Video that walks you through the Modeltime Workflow.
(Click to Watch on YouTube)
The Modeltime Workflow
Here’s the general process and where the functions fit.
Just follow the modeltime
workflow, which is detailed in 6 convenient steps:
 Collect data and split into training and test sets
 Create & Fit Multiple Models
 Add fitted models to a Model Table
 Calibrate the models to a testing set.
 Perform Testing Set Forecast & Accuracy Evaluation
 Refit the models to Full Dataset & Forecast Forward
Let’s go through a guided tour to kick the tires on modeltime
.
Time Series Forecasting Example
Load libraries to complete this short tutorial.
library(xgboost)
library(tidymodels)
library(modeltime)
library(tidyverse)
library(lubridate)
library(timetk)
# This toggles plots from plotly (interactive) to ggplot (static)
interactive < FALSE
Step 1  Collect data and split into training and test sets.
We can visualize the dataset.
m750 %>%
plot_time_series(date, value, .interactive = interactive)
Let’s split the data into training and test sets using initial_time_split()
# Split Data 80/20
splits < initial_time_split(m750, prop = 0.9)
Step 2  Create & Fit Multiple Models
We can easily create dozens of forecasting models by combining modeltime
and parsnip
. We can also use the workflows
interface for adding preprocessing! Your forecasting possibilities are endless. Let’s get a few basic models developed:
 ARIMA
 Exponential Smoothing
 Linear Regression
 MARS (Multivariate Adaptive Regression Splines)
Important note: Handling Date Features
Modeltime models (e.g. arima_reg()
) are created with a date or date time feature in the model. You will see that most models include a formula like fit(value ~ date, data)
.
Parsnip models (e.g. linear_reg()
) typically should not have date features, but may contain derivatives of dates (e.g. month, year, etc). You will often see formulas like fit(value ~ as.numeric(date) + month(date), data)
.
Model 1: Auto ARIMA (Modeltime)
First, we create a basic univariate ARIMA model using “Auto Arima” using arima_reg()
Model 2: Boosted Auto ARIMA (Modeltime)
Next, we create a boosted ARIMA using arima_boost()
. Boosting uses XGBoost to model the ARIMA errors. Note that model formula contains both a date feature and derivatives of date  ARIMA uses the date  XGBoost uses the derivatives of date as regressors
Normally I’d use a preprocessing workflow for the month features using a function like step_timeseries_signature()
from timetk
to help reduce the complexity of the parsnip formula interface.
# Model 2: arima_boost 
model_fit_arima_boosted < arima_boost(
min_n = 2,
learn_rate = 0.015
) %>%
set_engine(engine = "auto_arima_xgboost") %>%
fit(value ~ date + as.numeric(date) + factor(month(date, label = TRUE), ordered = F),
data = training(splits))
#> frequency = 12 observations per 1 year
Model 3: Exponential Smoothing (Modeltime)
Next, create an ErrorTrendSeason (ETS) model using an Exponential Smoothing State Space model. This is accomplished with exp_smoothing()
.
# Model 3: ets 
model_fit_ets < exp_smoothing() %>%
set_engine(engine = "ets") %>%
fit(value ~ date, data = training(splits))
#> frequency = 12 observations per 1 year
Model 4: Prophet (Modeltime)
We’ll create a prophet
model using prophet_reg()
.
# Model 4: prophet 
model_fit_prophet < prophet_reg() %>%
set_engine(engine = "prophet") %>%
fit(value ~ date, data = training(splits))
#> Disabling weekly seasonality. Run prophet with weekly.seasonality=TRUE to override this.
#> Disabling daily seasonality. Run prophet with daily.seasonality=TRUE to override this.
Model 5: Linear Regression (Parsnip)
We can model time series linear regression (TSLM) using the linear_reg()
algorithm from parsnip
. The following derivatives of date are used:

Trend: Modeled using
as.numeric(date)

Seasonal: Modeled using
month(date)
# Model 5: lm 
model_fit_lm < linear_reg() %>%
set_engine("lm") %>%
fit(value ~ as.numeric(date) + factor(month(date, label = TRUE), ordered = FALSE),
data = training(splits))
Model 6: MARS (Workflow)
We can model a Multivariate Adaptive Regression Spline model using mars()
. I’ve modified the process to use a workflow
to standardize the preprocessing of the features that are provided to the machine learning model (mars).
# Model 6: earth 
model_spec_mars < mars(mode = "regression") %>%
set_engine("earth")
recipe_spec < recipe(value ~ date, data = training(splits)) %>%
step_date(date, features = "month", ordinal = FALSE) %>%
step_mutate(date_num = as.numeric(date)) %>%
step_normalize(date_num) %>%
step_rm(date)
wflw_fit_mars < workflow() %>%
add_recipe(recipe_spec) %>%
add_model(model_spec_mars) %>%
fit(training(splits))
OK, with these 6 models, we’ll show how easy it is to forecast.
Step 3  Add fitted models to a Model Table.
The next step is to add each of the models to a Modeltime Table using modeltime_table()
. This step does some basic checking to make sure each of the models are fitted and that organizes into a scalable structure called a “Modeltime Table” that is used as part of our forecasting workflow.
We have 6 models to add. A couple of notes before moving on:
 Note that some of the models have tunable parameters.
 It’s expected that tuning and parameter selection is performed prior to incorporating into a Modeltime Table.
 If you try to add an unfitted model, the
modeltime_table()
will complain (throw an informative error) saying you need tofit()
the model.
models_tbl < modeltime_table(
model_fit_arima_no_boost,
model_fit_arima_boosted,
model_fit_ets,
model_fit_prophet,
model_fit_lm,
wflw_fit_mars
)
models_tbl
#> # Modeltime Table
#> # A tibble: 6 × 3
#> .model_id .model .model_desc
#> <int> <list> <chr>
#> 1 1 <fit[+]> ARIMA(0,1,1)(0,1,1)[12]
#> 2 2 <fit[+]> ARIMA(0,1,1)(0,1,1)[12] W/ XGBOOST ERRORS
#> 3 3 <fit[+]> ETS(M,A,A)
#> 4 4 <fit[+]> PROPHET
#> 5 5 <fit[+]> LM
#> 6 6 <workflow> EARTH
Step 4  Calibrate the model to a testing set.
Calibrating adds a new column, .calibration_data
, with the test predictions and residuals inside. A few notes on Calibration:
 Calibration is how confidence intervals and accuracy metrics are determined
 Calibration Data is simply forecasting predictions and residuals that are calculated from outofsample data.
 After calibrating, the calibration data follows the data through the forecasting workflow.
calibration_tbl < models_tbl %>%
modeltime_calibrate(new_data = testing(splits))
calibration_tbl
#> # Modeltime Table
#> # A tibble: 6 × 5
#> .model_id .model .model_desc .type .calibration_da…
#> <int> <list> <chr> <chr> <list>
#> 1 1 <fit[+]> ARIMA(0,1,1)(0,1,1)[12] Test <tibble>
#> 2 2 <fit[+]> ARIMA(0,1,1)(0,1,1)[12] W/ XGBOOS… Test <tibble>
#> 3 3 <fit[+]> ETS(M,A,A) Test <tibble>
#> 4 4 <fit[+]> PROPHET Test <tibble>
#> 5 5 <fit[+]> LM Test <tibble>
#> 6 6 <workflow> EARTH Test <tibble>
Step 5  Testing Set Forecast & Accuracy Evaluation
There are 2 critical parts to an evaluation.
 Visualizing the Forecast vs Test Data Set
 Evaluating the Test (Out of Sample) Accuracy
5A  Visualizing the Forecast Test
Visualizing the Test Error is easy to do using the interactive plotly visualization (just toggle the visibility of the models using the Legend).
calibration_tbl %>%
modeltime_forecast(
new_data = testing(splits),
actual_data = m750
) %>%
plot_modeltime_forecast(
.legend_max_width = 25, # For mobile screens
.interactive = interactive
)
From visualizing the test set forecast:
 Models 1&2: ARIMA & ARIMA Boost are performing well. Both models have “auto” components because we used Auto ARIMA. The XGBoost component has parameters that were specified. We can possibly get better accuracy by tuning, but because the ARIMA component is working well on this data, additional improvement may be low.
 Model 3: ETS(M,A,A) is performing the best. The 80% confidence interval is the most narrow of the bunch, indicating the hold out set is modeled well.
 Model 4: PROPHET is comparable to the ARIMA models, but has a slightly wider test error confidence interval.
 Model 5: LM is overshooting the local trend. This is because the trend component is a simple linear line, which doesn’t account for the change points.
 Model 6: EARTH is overfitting the local trend. This is because we did not tune the number of change points, so the algorithm is autocalculating the change points.
5B  Accuracy Metrics
We can use modeltime_accuracy()
to collect common accuracy metrics. The default reports the following metrics using yardstick
functions:

MAE  Mean absolute error,
mae()

MAPE  Mean absolute percentage error,
mape()

MASE  Mean absolute scaled error,
mase()

SMAPE  Symmetric mean absolute percentage error,
smape()

RMSE  Root mean squared error,
rmse()

RSQ  Rsquared,
rsq()
These of course can be customized following the rules for creating new yardstick metrics, but the defaults are very useful. Refer to default_forecast_accuracy_metrics()
to learn more.
To make tablecreation a bit easier, I’ve included table_modeltime_accuracy()
for outputing results in either interactive (reactable
) or static (gt
) tables.
calibration_tbl %>%
modeltime_accuracy() %>%
table_modeltime_accuracy(
.interactive = interactive
)
Accuracy Table  

.model_id  .model_desc  .type  mae  mape  mase  smape  rmse  rsq 
1  ARIMA(0,1,1)(0,1,1)[12]  Test  151.33  1.41  0.52  1.43  197.71  0.93 
2  ARIMA(0,1,1)(0,1,1)[12] W/ XGBOOST ERRORS  Test  147.04  1.37  0.50  1.39  191.84  0.93 
3  ETS(M,A,A)  Test  77.00  0.73  0.26  0.73  90.27  0.98 
4  PROPHET  Test  172.97  1.66  0.59  1.66  230.76  0.88 
5  LM  Test  629.12  6.01  2.15  5.81  657.19  0.91 
6  EARTH  Test  709.83  6.59  2.42  6.86  782.82  0.55 
From the accuracy metrics:
 Model 3: ETS is clearly the winner here with MAE of 77
 Model 6: MARS is overfitting the local trend. This comes out in the RSquared of 0.55.
Step 6  Refit to Full Dataset & Forecast Forward
The final step is to refit the models to the full dataset using modeltime_refit()
and forecast them forward.
refit_tbl < calibration_tbl %>%
modeltime_refit(data = m750)
refit_tbl %>%
modeltime_forecast(h = "3 years", actual_data = m750) %>%
plot_modeltime_forecast(
.legend_max_width = 25, # For mobile screens
.interactive = interactive
)
Refitting  What happened?
The models have all changed! (Yes  this is the point of refitting)
 The LM model looks much better now because the linear trend line has now been fit to new data that follows the longer term trend.
 The EARTH model has a trend that is more representative of the nearterm trend.
 The PROPHET model has a trend that is very similar to the EARTH model (this is because both modeling algorithms use changepoints to model trend, and prophet’s auto algorithm seems to be doing a better job at adapting).
 The ETS model has changed from (M,A,A) to (A,A,A).
 The ARIMA model have been updated and better capture the upswing.
This is the (potential) benefit of refitting.
More often than not refitting is a good idea. Refitting:
 Retrieves your model and preprocessing steps
 Refits the model to the new data
 Recalculates any automations. This includes:
 Recalculating the longterm trend for Linear Model
 Recalculating the changepoints for the Earth Model
 Recalculating the ARIMA and ETS parameters
 Preserves any parameter selections. This includes:
 XGBoost Parameters in the Boosted ARIMA
min_n = 2
,learn_rate = 0.015
.  Any other defaults that are not automatic calculations are used.
 XGBoost Parameters in the Boosted ARIMA
Summary
We just showcased the Modeltime Workflow. But this is a simple problem. And, there’s a lot more to learning time series.
 Many more algorithms
 Ensembling
 Machine Learning
 Deep Learning
 Scalable Modeling: 10,000+ time series
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