`R/parsnip-exp_smoothing.R`

`exp_smoothing.Rd`

`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`

.

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

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". |

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()`

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.

**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.

*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.

library(dplyr) library(parsnip) library(rsample) library(timetk) library(modeltime) # Data m750 <- m4_monthly %>% filter(id == "M750") m750#> # A tibble: 306 x 3 #> id date value #> <fct> <date> <dbl> #> 1 M750 1990-01-01 6370 #> 2 M750 1990-02-01 6430 #> 3 M750 1990-03-01 6520 #> 4 M750 1990-04-01 6580 #> 5 M750 1990-05-01 6620 #> 6 M750 1990-06-01 6690 #> 7 M750 1990-07-01 6000 #> 8 M750 1990-08-01 5450 #> 9 M750 1990-09-01 6480 #> 10 M750 1990-10-01 6820 #> # … with 296 more rows# 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#> parsnip model object #> #> Fit time: 697ms #> ETS(A,A,A) #> #> Call: #> forecast::ets(y = outcome, model = model_ets, damped = damping_ets) #> #> Smoothing parameters: #> alpha = 0.5893 #> beta = 1e-04 #> gamma = 0.1771 #> #> Initial states: #> l = 8.7377 #> b = 0.002 #> s = 0.029 0.0259 0.0144 -0.0272 -0.1369 -0.0764 #> 0.0209 0.0358 0.036 0.035 0.0274 0.016 #> #> sigma: 0.0186 #> #> AIC AICc BIC #> -584.7384 -582.0304 -525.2865# ---- 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#> parsnip model object #> #> Fit time: 164ms #> ETS(M,Ad,M) #> #> Call: #> forecast::ets(y = outcome, model = model_ets, damped = damping_ets) #> #> Smoothing parameters: #> alpha = 0.5889 #> beta = 0.0065 #> gamma = 0.203 #> phi = 0.98 #> #> Initial states: #> l = 8.7353 #> b = 0.0054 #> s = 1.0027 1.0025 1.0012 0.9972 0.9839 0.9921 #> 1.0024 1.0041 1.0045 1.0039 1.0033 1.0022 #> #> sigma: 0.0021 #> #> AIC AICc BIC #> -576.9488 -573.9088 -513.9998