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Introduction to Pattern Sequence based Forecasting (PSF) algorithm

Neeraj Bokde, Gualberto Asencio-Cortes and Francisco Martinez-Alvarez

2022-04-30

Introduction

The Algorithm Pattern Sequence based Forecasting (PSF) was first proposed by Martinez Alvarez, et al., 2008 and then modified and suggested improvement by Martinez Alvarez, et al., 2011. The technical detailes are mentioned in referenced articles. PSF algorithm consists of various statistical operations like:

Example

This section discusses about the examples to introduce the use of the PSF package and to compare it with auto.arima() and ets() functions, which are well accepted functions in the R community working over time series forecasting techniques. The data used in this example are ’nottem’ and ’sunspots’ which are the standard time series dataset available in R. The ’nottem’ dataset is the average air temperatures at Nottingham Castle in degrees Fahrenheit, collected for 20 years, on monthly basis.

Similarly, ’sunspots’ dataset is mean relative sunspot numbers from 1749 to 1983, measured on monthly basis. First of all, the psf() function from PSF package is used to forecast the future values. For both datasets, all the recorded values except for the final year are considered as training data, and the last year is used for testing purposes. The predicted values for final year with psf() function for both datasets are now discussed.

Install library

Download the Package and install with instruction:

library(PSF)

Model building for ’nottem’ dataset with psf() function.

nottem_model <- psf(nottem)
nottem_model
## $original_series
##       Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
## 1920 40.6 40.8 44.4 46.7 54.1 58.5 57.7 56.4 54.3 50.5 42.9 39.8
## 1921 44.2 39.8 45.1 47.0 54.1 58.7 66.3 59.9 57.0 54.2 39.7 42.8
## 1922 37.5 38.7 39.5 42.1 55.7 57.8 56.8 54.3 54.3 47.1 41.8 41.7
## 1923 41.8 40.1 42.9 45.8 49.2 52.7 64.2 59.6 54.4 49.2 36.3 37.6
## 1924 39.3 37.5 38.3 45.5 53.2 57.7 60.8 58.2 56.4 49.8 44.4 43.6
## 1925 40.0 40.5 40.8 45.1 53.8 59.4 63.5 61.0 53.0 50.0 38.1 36.3
## 1926 39.2 43.4 43.4 48.9 50.6 56.8 62.5 62.0 57.5 46.7 41.6 39.8
## 1927 39.4 38.5 45.3 47.1 51.7 55.0 60.4 60.5 54.7 50.3 42.3 35.2
## 1928 40.8 41.1 42.8 47.3 50.9 56.4 62.2 60.5 55.4 50.2 43.0 37.3
## 1929 34.8 31.3 41.0 43.9 53.1 56.9 62.5 60.3 59.8 49.2 42.9 41.9
## 1930 41.6 37.1 41.2 46.9 51.2 60.4 60.1 61.6 57.0 50.9 43.0 38.8
## 1931 37.1 38.4 38.4 46.5 53.5 58.4 60.6 58.2 53.8 46.6 45.5 40.6
## 1932 42.4 38.4 40.3 44.6 50.9 57.0 62.1 63.5 56.3 47.3 43.6 41.8
## 1933 36.2 39.3 44.5 48.7 54.2 60.8 65.5 64.9 60.1 50.2 42.1 35.8
## 1934 39.4 38.2 40.4 46.9 53.4 59.6 66.5 60.4 59.2 51.2 42.8 45.8
## 1935 40.0 42.6 43.5 47.1 50.0 60.5 64.6 64.0 56.8 48.6 44.2 36.4
## 1936 37.3 35.0 44.0 43.9 52.7 58.6 60.0 61.1 58.1 49.6 41.6 41.3
## 1937 40.8 41.0 38.4 47.4 54.1 58.6 61.4 61.8 56.3 50.9 41.4 37.1
## 1938 42.1 41.2 47.3 46.6 52.4 59.0 59.6 60.4 57.0 50.7 47.8 39.2
## 1939 39.4 40.9 42.4 47.8 52.4 58.0 60.7 61.8 58.2 46.7 46.6 37.8
## 
## $train_data
##             V1        V2        V3        V4        V5        V6        V7
##  1: 0.26420455 0.2698864 0.3721591 0.4375000 0.6477273 0.7727273 0.7500000
##  2: 0.36647727 0.2414773 0.3920455 0.4460227 0.6477273 0.7784091 0.9943182
##  3: 0.17613636 0.2102273 0.2329545 0.3068182 0.6931818 0.7528409 0.7244318
##  4: 0.29829545 0.2500000 0.3295455 0.4119318 0.5085227 0.6079545 0.9346591
##  5: 0.22727273 0.1761364 0.1988636 0.4034091 0.6221591 0.7500000 0.8380682
##  6: 0.24715909 0.2613636 0.2698864 0.3920455 0.6392045 0.7982955 0.9147727
##  7: 0.22443182 0.3437500 0.3437500 0.5000000 0.5482955 0.7244318 0.8863636
##  8: 0.23011364 0.2045455 0.3977273 0.4488636 0.5795455 0.6732955 0.8267045
##  9: 0.26988636 0.2784091 0.3267045 0.4545455 0.5568182 0.7130682 0.8778409
## 10: 0.09943182 0.0000000 0.2755682 0.3579545 0.6193182 0.7272727 0.8863636
## 11: 0.29261364 0.1647727 0.2812500 0.4431818 0.5653409 0.8267045 0.8181818
## 12: 0.16477273 0.2017045 0.2017045 0.4318182 0.6306818 0.7698864 0.8323864
## 13: 0.31534091 0.2017045 0.2556818 0.3778409 0.5568182 0.7301136 0.8750000
## 14: 0.13920455 0.2272727 0.3750000 0.4943182 0.6505682 0.8380682 0.9715909
## 15: 0.23011364 0.1960227 0.2585227 0.4431818 0.6278409 0.8039773 1.0000000
## 16: 0.24715909 0.3210227 0.3465909 0.4488636 0.5312500 0.8295455 0.9460227
## 17: 0.17045455 0.1051136 0.3607955 0.3579545 0.6079545 0.7755682 0.8153409
## 18: 0.26988636 0.2755682 0.2017045 0.4573864 0.6477273 0.7755682 0.8551136
## 19: 0.30681818 0.2812500 0.4545455 0.4346591 0.5994318 0.7869318 0.8039773
## 20: 0.23011364 0.2727273 0.3153409 0.4687500 0.5994318 0.7585227 0.8352273
##            V8        V9       V10       V11       V12
##  1: 0.7130682 0.6534091 0.5454545 0.3295455 0.2414773
##  2: 0.8125000 0.7301136 0.6505682 0.2386364 0.3267045
##  3: 0.6534091 0.6534091 0.4488636 0.2982955 0.2954545
##  4: 0.8039773 0.6562500 0.5085227 0.1420455 0.1789773
##  5: 0.7642045 0.7130682 0.5255682 0.3721591 0.3494318
##  6: 0.8437500 0.6164773 0.5312500 0.1931818 0.1420455
##  7: 0.8721591 0.7443182 0.4375000 0.2926136 0.2414773
##  8: 0.8295455 0.6647727 0.5397727 0.3125000 0.1107955
##  9: 0.8295455 0.6846591 0.5369318 0.3323864 0.1704545
## 10: 0.8238636 0.8096591 0.5085227 0.3295455 0.3011364
## 11: 0.8607955 0.7301136 0.5568182 0.3323864 0.2130682
## 12: 0.7642045 0.6392045 0.4346591 0.4034091 0.2642045
## 13: 0.9147727 0.7102273 0.4545455 0.3494318 0.2982955
## 14: 0.9545455 0.8181818 0.5369318 0.3068182 0.1278409
## 15: 0.8267045 0.7926136 0.5653409 0.3267045 0.4119318
## 16: 0.9289773 0.7244318 0.4914773 0.3664773 0.1448864
## 17: 0.8465909 0.7613636 0.5198864 0.2926136 0.2840909
## 18: 0.8664773 0.7102273 0.5568182 0.2869318 0.1647727
## 19: 0.8267045 0.7301136 0.5511364 0.4687500 0.2244318
## 20: 0.8664773 0.7642045 0.4375000 0.4346591 0.1846591
## 
## $k
## [1] 3
## 
## $w
## [1] 1
## 
## $cycle
## [1] 12
## 
## $dmin
## [1] 31.3
## 
## $dmax
## [1] 66.5
## 
## attr(,"class")
## [1] "psf"

Model building for ’sunspots’ dataset with psf() function.

sunspots_model <- psf(sunspots)
sunspots_model
## $original_series
##        Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
## 1749  58.0  62.6  70.0  55.7  85.0  83.5  94.8  66.3  75.9  75.5 158.6  85.2
## 1750  73.3  75.9  89.2  88.3  90.0 100.0  85.4 103.0  91.2  65.7  63.3  75.4
## 1751  70.0  43.5  45.3  56.4  60.7  50.7  66.3  59.8  23.5  23.2  28.5  44.0
## 1752  35.0  50.0  71.0  59.3  59.7  39.6  78.4  29.3  27.1  46.6  37.6  40.0
## 1753  44.0  32.0  45.7  38.0  36.0  31.7  22.2  39.0  28.0  25.0  20.0   6.7
## 1754   0.0   3.0   1.7  13.7  20.7  26.7  18.8  12.3   8.2  24.1  13.2   4.2
## 1755  10.2  11.2   6.8   6.5   0.0   0.0   8.6   3.2  17.8  23.7   6.8  20.0
## 1756  12.5   7.1   5.4   9.4  12.5  12.9   3.6   6.4  11.8  14.3  17.0   9.4
## 1757  14.1  21.2  26.2  30.0  38.1  12.8  25.0  51.3  39.7  32.5  64.7  33.5
## 1758  37.6  52.0  49.0  72.3  46.4  45.0  44.0  38.7  62.5  37.7  43.0  43.0
## 1759  48.3  44.0  46.8  47.0  49.0  50.0  51.0  71.3  77.2  59.7  46.3  57.0
## 1760  67.3  59.5  74.7  58.3  72.0  48.3  66.0  75.6  61.3  50.6  59.7  61.0
## 1761  70.0  91.0  80.7  71.7 107.2  99.3  94.1  91.1 100.7  88.7  89.7  46.0
## 1762  43.8  72.8  45.7  60.2  39.9  77.1  33.8  67.7  68.5  69.3  77.8  77.2
## 1763  56.5  31.9  34.2  32.9  32.7  35.8  54.2  26.5  68.1  46.3  60.9  61.4
## 1764  59.7  59.7  40.2  34.4  44.3  30.0  30.0  30.0  28.2  28.0  26.0  25.7
## 1765  24.0  26.0  25.0  22.0  20.2  20.0  27.0  29.7  16.0  14.0  14.0  13.0
## 1766  12.0  11.0  36.6   6.0  26.8   3.0   3.3   4.0   4.3   5.0   5.7  19.2
## 1767  27.4  30.0  43.0  32.9  29.8  33.3  21.9  40.8  42.7  44.1  54.7  53.3
## 1768  53.5  66.1  46.3  42.7  77.7  77.4  52.6  66.8  74.8  77.8  90.6 111.8
## 1769  73.9  64.2  64.3  96.7  73.6  94.4 118.6 120.3 148.8 158.2 148.1 112.0
## 1770 104.0 142.5  80.1  51.0  70.1  83.3 109.8 126.3 104.4 103.6 132.2 102.3
## 1771  36.0  46.2  46.7  64.9 152.7 119.5  67.7  58.5 101.4  90.0  99.7  95.7
## 1772 100.9  90.8  31.1  92.2  38.0  57.0  77.3  56.2  50.5  78.6  61.3  64.0
## 1773  54.6  29.0  51.2  32.9  41.1  28.4  27.7  12.7  29.3  26.3  40.9  43.2
## 1774  46.8  65.4  55.7  43.8  51.3  28.5  17.5   6.6   7.9  14.0  17.7  12.2
## 1775   4.4   0.0  11.6  11.2   3.9  12.3   1.0   7.9   3.2   5.6  15.1   7.9
## 1776  21.7  11.6   6.3  21.8  11.2  19.0   1.0  24.2  16.0  30.0  35.0  40.0
## 1777  45.0  36.5  39.0  95.5  80.3  80.7  95.0 112.0 116.2 106.5 146.0 157.3
## 1778 177.3 109.3 134.0 145.0 238.9 171.6 153.0 140.0 171.7 156.3 150.3 105.0
## 1779 114.7 165.7 118.0 145.0 140.0 113.7 143.0 112.0 111.0 124.0 114.0 110.0
## 1780  70.0  98.0  98.0  95.0 107.2  88.0  86.0  86.0  93.7  77.0  60.0  58.7
## 1781  98.7  74.7  53.0  68.3 104.7  97.7  73.5  66.0  51.0  27.3  67.0  35.2
## 1782  54.0  37.5  37.0  41.0  54.3  38.0  37.0  44.0  34.0  23.2  31.5  30.0
## 1783  28.0  38.7  26.7  28.3  23.0  25.2  32.2  20.0  18.0   8.0  15.0  10.5
## 1784  13.0   8.0  11.0  10.0   6.0   9.0   6.0  10.0  10.0   8.0  17.0  14.0
## 1785   6.5   8.0   9.0  15.7  20.7  26.3  36.3  20.0  32.0  47.2  40.2  27.3
## 1786  37.2  47.6  47.7  85.4  92.3  59.0  83.0  89.7 111.5 112.3 116.0 112.7
## 1787 134.7 106.0  87.4 127.2 134.8  99.2 128.0 137.2 157.3 157.0 141.5 174.0
## 1788 138.0 129.2 143.3 108.5 113.0 154.2 141.5 136.0 141.0 142.0  94.7 129.5
## 1789 114.0 125.3 120.0 123.3 123.5 120.0 117.0 103.0 112.0  89.7 134.0 135.5
## 1790 103.0 127.5  96.3  94.0  93.0  91.0  69.3  87.0  77.3  84.3  82.0  74.0
## 1791  72.7  62.0  74.0  77.2  73.7  64.2  71.0  43.0  66.5  61.7  67.0  66.0
## 1792  58.0  64.0  63.0  75.7  62.0  61.0  45.8  60.0  59.0  59.0  57.0  56.0
## 1793  56.0  55.0  55.5  53.0  52.3  51.0  50.0  29.3  24.0  47.0  44.0  45.7
## 1794  45.0  44.0  38.0  28.4  55.7  41.5  41.0  40.0  11.1  28.5  67.4  51.4
## 1795  21.4  39.9  12.6  18.6  31.0  17.1  12.9  25.7  13.5  19.5  25.0  18.0
## 1796  22.0  23.8  15.7  31.7  21.0   6.7  26.9   1.5  18.4  11.0   8.4   5.1
## 1797  14.4   4.2   4.0   4.0   7.3  11.1   4.3   6.0   5.7   6.9   5.8   3.0
## 1798   2.0   4.0  12.4   1.1   0.0   0.0   0.0   3.0   2.4   1.5  12.5   9.9
## 1799   1.6  12.6  21.7   8.4   8.2  10.6   2.1   0.0   0.0   4.6   2.7   8.6
## 1800   6.9   9.3  13.9   0.0   5.0  23.7  21.0  19.5  11.5  12.3  10.5  40.1
## 1801  27.0  29.0  30.0  31.0  32.0  31.2  35.0  38.7  33.5  32.6  39.8  48.2
## 1802  47.8  47.0  40.8  42.0  44.0  46.0  48.0  50.0  51.8  38.5  34.5  50.0
## 1803  50.0  50.8  29.5  25.0  44.3  36.0  48.3  34.1  45.3  54.3  51.0  48.0
## 1804  45.3  48.3  48.0  50.6  33.4  34.8  29.8  43.1  53.0  62.3  61.0  60.0
## 1805  61.0  44.1  51.4  37.5  39.0  40.5  37.6  42.7  44.4  29.4  41.0  38.3
## 1806  39.0  29.6  32.7  27.7  26.4  25.6  30.0  26.3  24.0  27.0  25.0  24.0
## 1807  12.0  12.2   9.6  23.8  10.0  12.0  12.7  12.0   5.7   8.0   2.6   0.0
## 1808   0.0   4.5   0.0  12.3  13.5  13.5   6.7   8.0  11.7   4.7  10.5  12.3
## 1809   7.2   9.2   0.9   2.5   2.0   7.7   0.3   0.2   0.4   0.0   0.0   0.0
## 1810   0.0   0.0   0.0   0.0   0.0   0.0   0.0   0.0   0.0   0.0   0.0   0.0
## 1811   0.0   0.0   0.0   0.0   0.0   0.0   6.6   0.0   2.4   6.1   0.8   1.1
## 1812  11.3   1.9   0.7   0.0   1.0   1.3   0.5  15.6   5.2   3.9   7.9  10.1
## 1813   0.0  10.3   1.9  16.6   5.5  11.2  18.3   8.4  15.3  27.8  16.7  14.3
## 1814  22.2  12.0   5.7  23.8   5.8  14.9  18.5   2.3   8.1  19.3  14.5  20.1
## 1815  19.2  32.2  26.2  31.6   9.8  55.9  35.5  47.2  31.5  33.5  37.2  65.0
## 1816  26.3  68.8  73.7  58.8  44.3  43.6  38.8  23.2  47.8  56.4  38.1  29.9
## 1817  36.4  57.9  96.2  26.4  21.2  40.0  50.0  45.0  36.7  25.6  28.9  28.4
## 1818  34.9  22.4  25.4  34.5  53.1  36.4  28.0  31.5  26.1  31.7  10.9  25.8
## 1819  32.5  20.7   3.7  20.2  19.6  35.0  31.4  26.1  14.9  27.5  25.1  30.6
## 1820  19.2  26.6   4.5  19.4  29.3  10.8  20.6  25.9   5.2   9.0   7.9   9.7
## 1821  21.5   4.3   5.7   9.2   1.7   1.8   2.5   4.8   4.4  18.8   4.4   0.0
## 1822   0.0   0.9  16.1  13.5   1.5   5.6   7.9   2.1   0.0   0.4   0.0   0.0
## 1823   0.0   0.0   0.6   0.0   0.0   0.0   0.5   0.0   0.0   0.0   0.0  20.4
## 1824  21.6  10.8   0.0  19.4   2.8   0.0   0.0   1.4  20.5  25.2   0.0   0.8
## 1825   5.0  15.5  22.4   3.8  15.4  15.4  30.9  25.4  15.7  15.6  11.7  22.0
## 1826  17.7  18.2  36.7  24.0  32.4  37.1  52.5  39.6  18.9  50.6  39.5  68.1
## 1827  34.6  47.4  57.8  46.0  56.3  56.7  42.9  53.7  49.6  57.2  48.2  46.1
## 1828  52.8  64.4  65.0  61.1  89.1  98.0  54.3  76.4  50.4  54.7  57.0  46.6
## 1829  43.0  49.4  72.3  95.0  67.5  73.9  90.8  78.3  52.8  57.2  67.6  56.5
## 1830  52.2  72.1  84.6 107.1  66.3  65.1  43.9  50.7  62.1  84.4  81.2  82.1
## 1831  47.5  50.1  93.4  54.6  38.1  33.4  45.2  54.9  37.9  46.2  43.5  28.9
## 1832  30.9  55.5  55.1  26.9  41.3  26.7  13.9   8.9   8.2  21.1  14.3  27.5
## 1833  11.3  14.9  11.8   2.8  12.9   1.0   7.0   5.7  11.6   7.5   5.9   9.9
## 1834   4.9  18.1   3.9   1.4   8.8   7.8   8.7   4.0  11.5  24.8  30.5  34.5
## 1835   7.5  24.5  19.7  61.5  43.6  33.2  59.8  59.0 100.8  95.2 100.0  77.5
## 1836  88.6 107.6  98.1 142.9 111.4 124.7 116.7 107.8  95.1 137.4 120.9 206.2
## 1837 188.0 175.6 134.6 138.2 111.3 158.0 162.8 134.0  96.3 123.7 107.0 129.8
## 1838 144.9  84.8 140.8 126.6 137.6  94.5 108.2  78.8  73.6  90.8  77.4  79.8
## 1839 107.6 102.5  77.7  61.8  53.8  54.6  84.7 131.2 132.7  90.8  68.8  63.6
## 1840  81.2  87.7  55.5  65.9  69.2  48.5  60.7  57.8  74.0  49.8  54.3  53.7
## 1841  24.0  29.9  29.7  42.6  67.4  55.7  30.8  39.3  35.1  28.5  19.8  38.8
## 1842  20.4  22.1  21.7  26.9  24.9  20.5  12.6  26.5  18.5  38.1  40.5  17.6
## 1843  13.3   3.5   8.3   8.8  21.1  10.5   9.5  11.8   4.2   5.3  19.1  12.7
## 1844   9.4  14.7  13.6  20.8  12.0   3.7  21.2  23.9   6.9  21.5  10.7  21.6
## 1845  25.7  43.6  43.3  56.9  47.8  31.1  30.6  32.3  29.6  40.7  39.4  59.7
## 1846  38.7  51.0  63.9  69.2  59.9  65.1  46.5  54.8 107.1  55.9  60.4  65.5
## 1847  62.6  44.9  85.7  44.7  75.4  85.3  52.2 140.6 161.2 180.4 138.9 109.6
## 1848 159.1 111.8 108.9 107.1 102.2 123.8 139.2 132.5 100.3 132.4 114.6 159.9
## 1849 156.7 131.7  96.5 102.5  80.6  81.2  78.0  61.3  93.7  71.5  99.7  97.0
## 1850  78.0  89.4  82.6  44.1  61.6  70.0  39.1  61.6  86.2  71.0  54.8  60.0
## 1851  75.5 105.4  64.6  56.5  62.6  63.2  36.1  57.4  67.9  62.5  50.9  71.4
## 1852  68.4  67.5  61.2  65.4  54.9  46.9  42.0  39.7  37.5  67.3  54.3  45.4
## 1853  41.1  42.9  37.7  47.6  34.7  40.0  45.9  50.4  33.5  42.3  28.8  23.4
## 1854  15.4  20.0  20.7  26.4  24.0  21.1  18.7  15.8  22.4  12.7  28.2  21.4
## 1855  12.3  11.4  17.4   4.4   9.1   5.3   0.4   3.1   0.0   9.7   4.3   3.1
## 1856   0.5   4.9   0.4   6.5   0.0   5.0   4.6   5.9   4.4   4.5   7.7   7.2
## 1857  13.7   7.4   5.2  11.1  29.2  16.0  22.2  16.9  42.4  40.6  31.4  37.2
## 1858  39.0  34.9  57.5  38.3  41.4  44.5  56.7  55.3  80.1  91.2  51.9  66.9
## 1859  83.7  87.6  90.3  85.7  91.0  87.1  95.2 106.8 105.8 114.6  97.2  81.0
## 1860  81.5  88.0  98.9  71.4 107.1 108.6 116.7 100.3  92.2  90.1  97.9  95.6
## 1861  62.3  77.8 101.0  98.5  56.8  87.8  78.0  82.5  79.9  67.2  53.7  80.5
## 1862  63.1  64.5  43.6  53.7  64.4  84.0  73.4  62.5  66.6  42.0  50.6  40.9
## 1863  48.3  56.7  66.4  40.6  53.8  40.8  32.7  48.1  22.0  39.9  37.7  41.2
## 1864  57.7  47.1  66.3  35.8  40.6  57.8  54.7  54.8  28.5  33.9  57.6  28.6
## 1865  48.7  39.3  39.5  29.4  34.5  33.6  26.8  37.8  21.6  17.1  24.6  12.8
## 1866  31.6  38.4  24.6  17.6  12.9  16.5   9.3  12.7   7.3  14.1   9.0   1.5
## 1867   0.0   0.7   9.2   5.1   2.9   1.5   5.0   4.9   9.8  13.5   9.3  25.2
## 1868  15.6  15.8  26.5  36.6  26.7  31.1  28.6  34.4  43.8  61.7  59.1  67.6
## 1869  60.9  59.3  52.7  41.0 104.0 108.4  59.2  79.6  80.6  59.4  77.4 104.3
## 1870  77.3 114.9 159.4 160.0 176.0 135.6 132.4 153.8 136.0 146.4 147.5 130.0
## 1871  88.3 125.3 143.2 162.4 145.5  91.7 103.0 110.0  80.3  89.0 105.4  90.3
## 1872  79.5 120.1  88.4 102.1 107.6 109.9 105.5  92.9 114.6 103.5 112.0  83.9
## 1873  86.7 107.0  98.3  76.2  47.9  44.8  66.9  68.2  47.5  47.4  55.4  49.2
## 1874  60.8  64.2  46.4  32.0  44.6  38.2  67.8  61.3  28.0  34.3  28.9  29.3
## 1875  14.6  22.2  33.8  29.1  11.5  23.9  12.5  14.6   2.4  12.7  17.7   9.9
## 1876  14.3  15.0  31.2   2.3   5.1   1.6  15.2   8.8   9.9  14.3   9.9   8.2
## 1877  24.4   8.7  11.7  15.8  21.2  13.4   5.9   6.3  16.4   6.7  14.5   2.3
## 1878   3.3   6.0   7.8   0.1   5.8   6.4   0.1   0.0   5.3   1.1   4.1   0.5
## 1879   0.8   0.6   0.0   6.2   2.4   4.8   7.5  10.7   6.1  12.3  12.9   7.2
## 1880  24.0  27.5  19.5  19.3  23.5  34.1  21.9  48.1  66.0  43.0  30.7  29.6
## 1881  36.4  53.2  51.5  51.7  43.5  60.5  76.9  58.0  53.2  64.0  54.8  47.3
## 1882  45.0  69.3  67.5  95.8  64.1  45.2  45.4  40.4  57.7  59.2  84.4  41.8
## 1883  60.6  46.9  42.8  82.1  32.1  76.5  80.6  46.0  52.6  83.8  84.5  75.9
## 1884  91.5  86.9  86.8  76.1  66.5  51.2  53.1  55.8  61.9  47.8  36.6  47.2
## 1885  42.8  71.8  49.8  55.0  73.0  83.7  66.5  50.0  39.6  38.7  33.3  21.7
## 1886  29.9  25.9  57.3  43.7  30.7  27.1  30.3  16.9  21.4   8.6   0.3  12.4
## 1887  10.3  13.2   4.2   6.9  20.0  15.7  23.3  21.4   7.4   6.6   6.9  20.7
## 1888  12.7   7.1   7.8   5.1   7.0   7.1   3.1   2.8   8.8   2.1  10.7   6.7
## 1889   0.8   8.5   7.0   4.3   2.4   6.4   9.7  20.6   6.5   2.1   0.2   6.7
## 1890   5.3   0.6   5.1   1.6   4.8   1.3  11.6   8.5  17.2  11.2   9.6   7.8
## 1891  13.5  22.2  10.4  20.5  41.1  48.3  58.8  33.2  53.8  51.5  41.9  32.3
## 1892  69.1  75.6  49.9  69.6  79.6  76.3  76.8 101.4  62.8  70.5  65.4  78.6
## 1893  75.0  73.0  65.7  88.1  84.7  88.2  88.8 129.2  77.9  79.7  75.1  93.8
## 1894  83.2  84.6  52.3  81.6 101.2  98.9 106.0  70.3  65.9  75.5  56.6  60.0
## 1895  63.3  67.2  61.0  76.9  67.5  71.5  47.8  68.9  57.7  67.9  47.2  70.7
## 1896  29.0  57.4  52.0  43.8  27.7  49.0  45.0  27.2  61.3  28.4  38.0  42.6
## 1897  40.6  29.4  29.1  31.0  20.0  11.3  27.6  21.8  48.1  14.3   8.4  33.3
## 1898  30.2  36.4  38.3  14.5  25.8  22.3   9.0  31.4  34.8  34.4  30.9  12.6
## 1899  19.5   9.2  18.1  14.2   7.7  20.5  13.5   2.9   8.4  13.0   7.8  10.5
## 1900   9.4  13.6   8.6  16.0  15.2  12.1   8.3   4.3   8.3  12.9   4.5   0.3
## 1901   0.2   2.4   4.5   0.0  10.2   5.8   0.7   1.0   0.6   3.7   3.8   0.0
## 1902   5.2   0.0  12.4   0.0   2.8   1.4   0.9   2.3   7.6  16.3  10.3   1.1
## 1903   8.3  17.0  13.5  26.1  14.6  16.3  27.9  28.8  11.1  38.9  44.5  45.6
## 1904  31.6  24.5  37.2  43.0  39.5  41.9  50.6  58.2  30.1  54.2  38.0  54.6
## 1905  54.8  85.8  56.5  39.3  48.0  49.0  73.0  58.8  55.0  78.7 107.2  55.5
## 1906  45.5  31.3  64.5  55.3  57.7  63.2 103.6  47.7  56.1  17.8  38.9  64.7
## 1907  76.4 108.2  60.7  52.6  42.9  40.4  49.7  54.3  85.0  65.4  61.5  47.3
## 1908  39.2  33.9  28.7  57.6  40.8  48.1  39.5  90.5  86.9  32.3  45.5  39.5
## 1909  56.7  46.6  66.3  32.3  36.0  22.6  35.8  23.1  38.8  58.4  55.8  54.2
## 1910  26.4  31.5  21.4   8.4  22.2  12.3  14.1  11.5  26.2  38.3   4.9   5.8
## 1911   3.4   9.0   7.8  16.5   9.0   2.2   3.5   4.0   4.0   2.6   4.2   2.2
## 1912   0.3   0.0   4.9   4.5   4.4   4.1   3.0   0.3   9.5   4.6   1.1   6.4
## 1913   2.3   2.9   0.5   0.9   0.0   0.0   1.7   0.2   1.2   3.1   0.7   3.8
## 1914   2.8   2.6   3.1  17.3   5.2  11.4   5.4   7.7  12.7   8.2  16.4  22.3
## 1915  23.0  42.3  38.8  41.3  33.0  68.8  71.6  69.6  49.5  53.5  42.5  34.5
## 1916  45.3  55.4  67.0  71.8  74.5  67.7  53.5  35.2  45.1  50.7  65.6  53.0
## 1917  74.7  71.9  94.8  74.7 114.1 114.9 119.8 154.5 129.4  72.2  96.4 129.3
## 1918  96.0  65.3  72.2  80.5  76.7  59.4 107.6 101.7  79.9  85.0  83.4  59.2
## 1919  48.1  79.5  66.5  51.8  88.1 111.2  64.7  69.0  54.7  52.8  42.0  34.9
## 1920  51.1  53.9  70.2  14.8  33.3  38.7  27.5  19.2  36.3  49.6  27.2  29.9
## 1921  31.5  28.3  26.7  32.4  22.2  33.7  41.9  22.8  17.8  18.2  17.8  20.3
## 1922  11.8  26.4  54.7  11.0   8.0   5.8  10.9   6.5   4.7   6.2   7.4  17.5
## 1923   4.5   1.5   3.3   6.1   3.2   9.1   3.5   0.5  13.2  11.6  10.0   2.8
## 1924   0.5   5.1   1.8  11.3  20.8  24.0  28.1  19.3  25.1  25.6  22.5  16.5
## 1925   5.5  23.2  18.0  31.7  42.8  47.5  38.5  37.9  60.2  69.2  58.6  98.6
## 1926  71.8  70.0  62.5  38.5  64.3  73.5  52.3  61.6  60.8  71.5  60.5  79.4
## 1927  81.6  93.0  69.6  93.5  79.1  59.1  54.9  53.8  68.4  63.1  67.2  45.2
## 1928  83.5  73.5  85.4  80.6  76.9  91.4  98.0  83.8  89.7  61.4  50.3  59.0
## 1929  68.9  64.1  50.2  52.8  58.2  71.9  70.2  65.8  34.4  54.0  81.1 108.0
## 1930  65.3  49.2  35.0  38.2  36.8  28.8  21.9  24.9  32.1  34.4  35.6  25.8
## 1931  14.6  43.1  30.0  31.2  24.6  15.3  17.4  13.0  19.0  10.0  18.7  17.8
## 1932  12.1  10.6  11.2  11.2  17.9  22.2   9.6   6.8   4.0   8.9   8.2  11.0
## 1933  12.3  22.2  10.1   2.9   3.2   5.2   2.8   0.2   5.1   3.0   0.6   0.3
## 1934   3.4   7.8   4.3  11.3  19.7   6.7   9.3   8.3   4.0   5.7   8.7  15.4
## 1935  18.9  20.5  23.1  12.2  27.3  45.7  33.9  30.1  42.1  53.2  64.2  61.5
## 1936  62.8  74.3  77.1  74.9  54.6  70.0  52.3  87.0  76.0  89.0 115.4 123.4
## 1937 132.5 128.5  83.9 109.3 116.7 130.3 145.1 137.7 100.7 124.9  74.4  88.8
## 1938  98.4 119.2  86.5 101.0 127.4  97.5 165.3 115.7  89.6  99.1 122.2  92.7
## 1939  80.3  77.4  64.6 109.1 118.3 101.0  97.6 105.8 112.6  88.1  68.1  42.1
## 1940  50.5  59.4  83.3  60.7  54.4  83.9  67.5 105.5  66.5  55.0  58.4  68.3
## 1941  45.6  44.5  46.4  32.8  29.5  59.8  66.9  60.0  65.9  46.3  38.3  33.7
## 1942  35.6  52.8  54.2  60.7  25.0  11.4  17.7  20.2  17.2  19.2  30.7  22.5
## 1943  12.4  28.9  27.4  26.1  14.1   7.6  13.2  19.4  10.0   7.8  10.2  18.8
## 1944   3.7   0.5  11.0   0.3   2.5   5.0   5.0  16.7  14.3  16.9  10.8  28.4
## 1945  18.5  12.7  21.5  32.0  30.6  36.2  42.6  25.9  34.9  68.8  46.0  27.4
## 1946  47.6  86.2  76.6  75.7  84.9  73.5 116.2 107.2  94.4 102.3 123.8 121.7
## 1947 115.7 113.4 129.8 149.8 201.3 163.9 157.9 188.8 169.4 163.6 128.0 116.5
## 1948 108.5  86.1  94.8 189.7 174.0 167.8 142.2 157.9 143.3 136.3  95.8 138.0
## 1949 119.1 182.3 157.5 147.0 106.2 121.7 125.8 123.8 145.3 131.6 143.5 117.6
## 1950 101.6  94.8 109.7 113.4 106.2  83.6  91.0  85.2  51.3  61.4  54.8  54.1
## 1951  59.9  59.9  59.9  92.9 108.5 100.6  61.5  61.0  83.1  51.6  52.4  45.8
## 1952  40.7  22.7  22.0  29.1  23.4  36.4  39.3  54.9  28.2  23.8  22.1  34.3
## 1953  26.5   3.9  10.0  27.8  12.5  21.8   8.6  23.5  19.3   8.2   1.6   2.5
## 1954   0.2   0.5  10.9   1.8   0.8   0.2   4.8   8.4   1.5   7.0   9.2   7.6
## 1955  23.1  20.8   4.9  11.3  28.9  31.7  26.7  40.7  42.7  58.5  89.2  76.9
## 1956  73.6 124.0 118.4 110.7 136.6 116.6 129.1 169.6 173.2 155.3 201.3 192.1
## 1957 165.0 130.2 157.4 175.2 164.6 200.7 187.2 158.0 235.8 253.8 210.9 239.4
## 1958 202.5 164.9 190.7 196.0 175.3 171.5 191.4 200.2 201.2 181.5 152.3 187.6
## 1959 217.4 143.1 185.7 163.3 172.0 168.7 149.6 199.6 145.2 111.4 124.0 125.0
## 1960 146.3 106.0 102.2 122.0 119.6 110.2 121.7 134.1 127.2  82.8  89.6  85.6
## 1961  57.9  46.1  53.0  61.4  51.0  77.4  70.2  55.9  63.6  37.7  32.6  40.0
## 1962  38.7  50.3  45.6  46.4  43.7  42.0  21.8  21.8  51.3  39.5  26.9  23.2
## 1963  19.8  24.4  17.1  29.3  43.0  35.9  19.6  33.2  38.8  35.3  23.4  14.9
## 1964  15.3  17.7  16.5   8.6   9.5   9.1   3.1   9.3   4.7   6.1   7.4  15.1
## 1965  17.5  14.2  11.7   6.8  24.1  15.9  11.9   8.9  16.8  20.1  15.8  17.0
## 1966  28.2  24.4  25.3  48.7  45.3  47.7  56.7  51.2  50.2  57.2  57.2  70.4
## 1967 110.9  93.6 111.8  69.5  86.5  67.3  91.5 107.2  76.8  88.2  94.3 126.4
## 1968 121.8 111.9  92.2  81.2 127.2 110.3  96.1 109.3 117.2 107.7  86.0 109.8
## 1969 104.4 120.5 135.8 106.8 120.0 106.0  96.8  98.0  91.3  95.7  93.5  97.9
## 1970 111.5 127.8 102.9 109.5 127.5 106.8 112.5  93.0  99.5  86.6  95.2  83.5
## 1971  91.3  79.0  60.7  71.8  57.5  49.8  81.0  61.4  50.2  51.7  63.2  82.2
## 1972  61.5  88.4  80.1  63.2  80.5  88.0  76.5  76.8  64.0  61.3  41.6  45.3
## 1973  43.4  42.9  46.0  57.7  42.4  39.5  23.1  25.6  59.3  30.7  23.9  23.3
## 1974  27.6  26.0  21.3  40.3  39.5  36.0  55.8  33.6  40.2  47.1  25.0  20.5
## 1975  18.9  11.5  11.5   5.1   9.0  11.4  28.2  39.7  13.9   9.1  19.4   7.8
## 1976   8.1   4.3  21.9  18.8  12.4  12.2   1.9  16.4  13.5  20.6   5.2  15.3
## 1977  16.4  23.1   8.7  12.9  18.6  38.5  21.4  30.1  44.0  43.8  29.1  43.2
## 1978  51.9  93.6  76.5  99.7  82.7  95.1  70.4  58.1 138.2 125.1  97.9 122.7
## 1979 166.6 137.5 138.0 101.5 134.4 149.5 159.4 142.2 188.4 186.2 183.3 176.3
## 1980 159.6 155.0 126.2 164.1 179.9 157.3 136.3 135.4 155.0 164.7 147.9 174.4
## 1981 114.0 141.3 135.5 156.4 127.5  90.0 143.8 158.7 167.3 162.4 137.5 150.1
## 1982 111.2 163.6 153.8 122.0  82.2 110.4 106.1 107.6 118.8  94.7  98.1 127.0
## 1983  84.3  51.0  66.5  80.7  99.2  91.1  82.2  71.8  50.3  55.8  33.3  33.4
## 
## $train_data
##             V1        V2        V3        V4        V5        V6         V7
##   1: 0.2285264 0.2466509 0.2758077 0.2194641 0.3349094 0.3289992 0.37352246
##   2: 0.2888101 0.2990544 0.3514578 0.3479117 0.3546099 0.3940110 0.33648542
##   3: 0.2758077 0.1713948 0.1784870 0.2222222 0.2391647 0.1997636 0.26122931
##   4: 0.1379039 0.1970055 0.2797478 0.2336485 0.2352246 0.1560284 0.30890465
##   5: 0.1733649 0.1260835 0.1800630 0.1497242 0.1418440 0.1249015 0.08747045
##  ---                                                                       
## 231: 0.6564224 0.5417652 0.5437352 0.3999212 0.5295508 0.5890465 0.62805359
## 232: 0.6288416 0.6107171 0.4972419 0.6465721 0.7088258 0.6197794 0.53703704
## 233: 0.4491726 0.5567376 0.5338849 0.6162333 0.5023641 0.3546099 0.56658786
## 234: 0.4381403 0.6446020 0.6059890 0.4806935 0.3238771 0.4349882 0.41804571
## 235: 0.3321513 0.2009456 0.2620173 0.3179669 0.3908589 0.3589441 0.32387707
##             V8         V9        V10        V11        V12
##   1: 0.2612293 0.29905437 0.29747833 0.62490150 0.33569740
##   2: 0.4058314 0.35933806 0.25886525 0.24940898 0.29708432
##   3: 0.2356186 0.09259259 0.09141056 0.11229314 0.17336485
##   4: 0.1154452 0.10677699 0.18360914 0.14814815 0.15760441
##   5: 0.1536643 0.11032309 0.09850276 0.07880221 0.02639874
##  ---                                                      
## 231: 0.5602837 0.74231678 0.73364854 0.72222222 0.69464145
## 232: 0.5334909 0.61071710 0.64893617 0.58274232 0.68715524
## 233: 0.6252955 0.65918046 0.63987392 0.54176517 0.59141056
## 234: 0.4239559 0.46808511 0.37312845 0.38652482 0.50039401
## 235: 0.2828999 0.19818755 0.21985816 0.13120567 0.13159968
## 
## $k
## [1] 2
## 
## $w
## [1] 5
## 
## $cycle
## [1] 12
## 
## $dmin
## [1] 0
## 
## $dmax
## [1] 253.8
## 
## attr(,"class")
## [1] "psf"

Perform predictions from trained PSF model for ’nottem’ dataset using the standard predict() function.

nottem_preds <- predict(nottem_model, n.ahead = 12)
nottem_preds
##  [1] 39.10000 38.71667 42.74167 46.67500 52.68333 57.99167 62.30000 60.68333
##  [9] 57.26667 49.61667 43.35833 40.09167

Perform predictions from trained PSF model for ’sunspots’ dataset using the standard predict() function.

sunspots_preds <- predict(sunspots_model, n.ahead = 48)
sunspots_preds
##  [1] 57.42000 54.33333 53.40000 56.07333 59.67333 59.22667 51.86000 50.89333
##  [9] 51.44667 44.66667 39.63333 42.39333 32.54167 37.65000 35.10833 38.84167
## [17] 30.25000 27.24167 26.63333 23.44167 24.95000 25.03333 22.91667 19.92500
## [25] 18.98750 19.82500 24.68750 15.41875 19.25625 17.51250 17.21250 20.61875
## [33] 14.03750 14.90625 21.43125 16.08125 14.47222 13.83333 13.66111 11.93889
## [41] 15.02222 14.21111 10.82778 13.93333 13.39444 18.74444 19.18889 18.83333

To represent the prediction performance in plot format, the plot() function is used as shown in the following code.

Plot for ‘nottem’ dataset

plot(nottem_model, nottem_preds)

Plot for ‘sunspots’ dataset

plot(sunspots_model, sunspots_preds)

Comparison of psf() with auto.arima() and ets() functions:

Example below shows the comparisons for psf(), auto.arima() and ets() functions when using the Root Mean Square Error (RMSE) parameter as metric, for ’sunspots’ dataset. In order to avail more accurate and robust comparison results, error values are calculated for 5 times and the mean value of error values for methods under comparison are also shown. These values clearly state that ‘psf()’ function is able to outperform the comparative time series prediction methods. Additionally, the reader might want to refer to the results published in the original work Martinez Alvarez et al. (2011), in which it was shown that PSF outperformed many different methods when applied to electricity prices and demand forecasting.

library(PSF)
library(forecast)
## Registered S3 method overwritten by 'quantmod':
##   method            from
##   as.zoo.data.frame zoo
options(warn=-1)
  
## Consider data `sunspots` with removal of last years's readings
# Training Data
train <- sunspots[1:2772]

# Test Data
test <- sunspots[2773:2820]

PSF <- NULL
ARIMA <- NULL
ETS <- NULL

for(i in 1:5)
{
  set.seed(i)
  
  # for PSF
  psf_model <- psf(train)
  a <- predict(psf_model, n.ahead = 48)

  # for ARIMA
  b <- forecast(auto.arima(train), 48)$mean
  
  # for ets
  c <- as.numeric(forecast(ets(train), 48)$mean)
  
  ## For Error Calculations
  # Error for PSF
  PSF[i] <- sqrt(mean((test - a)^2))
  # Error for ARIMA
  ARIMA[i] <- sqrt(mean((test - b)^2))
  # Error for ETS
  ETS[i] <- sqrt(mean((test - c)^2))

}

## Error values for PSF
  PSF
## [1] 61.08512 61.08512 61.08512 61.08512 61.08512
  mean(PSF)
## [1] 61.08512
## Error values for ARIMA
  ARIMA
## [1] 103.0719 103.0719 103.0719 103.0719 103.0719
  mean(ARIMA)
## [1] 103.0719
## Error values for ETS
  ETS
## [1] 70.66647 70.66647 70.66647 70.66647 70.66647
  mean(ETS)
## [1] 70.66647

References

Martínez-Álvarez, F., Troncoso, A., Riquelme, J.C. and Ruiz, J.S.A., 2008, December. LBF: A labeled-based forecasting algorithm and its application to electricity price time series. In Data Mining, 2008. ICDM’08. Eighth IEEE International Conference on (pp. 453-461). IEEE.

Martinez Alvarez, F., Troncoso, A., Riquelme, J.C. and Aguilar Ruiz, J.S., 2011. Energy time series forecasting based on pattern sequence similarity. Knowledge and Data Engineering, IEEE Transactions on, 23(8), pp.1230-1243.

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They may not be fully stable and should be used with caution. We make no claims about them.