Preparation for forecasting

Calibration sets the stage for accuracy and forecast confidence by computing predictions and residuals from out of sample data.

Usage

modeltime_calibrate(object, new_data, id = NULL, quiet = TRUE, ...)

Arguments

object

A fitted model object that is either:

1. A modeltime table that has been created using modeltime_table()

2. A workflow that has been fit by fit.workflow() or

3. A parsnip model that has been fit using fit.model_spec()

new_data

A test data set tibble containing future information (timestamps and actual values).

id

A quoted column name containing an identifier column identifying time series that are grouped.

quiet

Hide errors (TRUE, the default), or display them as they occur?

...

Additional arguments passed to modeltime_forecast().

Value

A Modeltime Table (mdl_time_tbl) with nested .calibration_data added

Details

The results of calibration are used for:

• Forecast Confidence Interval Estimation: The out of sample residual data is used to calculate the confidence interval. Refer to modeltime_forecast().

• Accuracy Calculations: The out of sample actual and prediction values are used to calculate performance metrics. Refer to modeltime_accuracy()

The calibration steps include:

1. If not a Modeltime Table, objects are converted to Modeltime Tables internally

2. Two Columns are added:

• .type: Indicates the sample type. This is:

  • "Test" if predicted, or

  • "Fitted" if residuals were stored during modeling.

• .calibration_data:

  • Contains a tibble with Timestamps, Actual Values, Predictions and Residuals calculated from new_data (Test Data)

  • If id is provided, will contain a 5th column that is the identifier variable.

Examples

library(dplyr)
library(lubridate)
library(timetk)
library(parsnip)
library(rsample)

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

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

# --- MODELS ---

# Model 1: 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.


# ---- MODELTIME TABLE ----

models_tbl <- modeltime_table(
    model_fit_prophet
)

# ---- CALIBRATE ----

calibration_tbl <- models_tbl %>%
    modeltime_calibrate(
        new_data = testing(splits)
    )

# ---- ACCURACY ----

calibration_tbl %>%
    modeltime_accuracy()
#> # A tibble: 1 × 9
#>   .model_id .model_desc .type   mae  mape  mase smape  rmse   rsq
#>       <int> <chr>       <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1         1 PROPHET     Test   270.  2.73 0.804  2.66  363. 0.812

# ---- FORECAST ----

calibration_tbl %>%
    modeltime_forecast(
        new_data    = testing(splits),
        actual_data = m750
    )
#> # Forecast Results
#>   
#> Conf Method: conformal_default | Conf Interval: 0.95 | Conf By ID: FALSE
#> (GLOBAL CONFIDENCE)
#> # A tibble: 368 × 7
#>    .model_id .model_desc .key   .index     .value .conf_lo .conf_hi
#>        <int> <chr>       <fct>  <date>      <dbl>    <dbl>    <dbl>
#>  1        NA ACTUAL      actual 1990-01-01   6370       NA       NA
#>  2        NA ACTUAL      actual 1990-02-01   6430       NA       NA
#>  3        NA ACTUAL      actual 1990-03-01   6520       NA       NA
#>  4        NA ACTUAL      actual 1990-04-01   6580       NA       NA
#>  5        NA ACTUAL      actual 1990-05-01   6620       NA       NA
#>  6        NA ACTUAL      actual 1990-06-01   6690       NA       NA
#>  7        NA ACTUAL      actual 1990-07-01   6000       NA       NA
#>  8        NA ACTUAL      actual 1990-08-01   5450       NA       NA
#>  9        NA ACTUAL      actual 1990-09-01   6480       NA       NA
#> 10        NA ACTUAL      actual 1990-10-01   6820       NA       NA
#> # ℹ 358 more rows