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IRF() generic and appropriate mable methods
for computing impulse response functions from fitted models.generate() bootstrap sample paths
for multivariate models.progressr::with_progress()autoplot() and length 1 forecasts
(#400).Minor patch to build package with latest R version as requested by CRAN.
Minor patch for upcoming release of ggdist v3.3.1
interval_accuracy_measures (#379).combination_model() when used with
transformed component models.autoplot(<fbl_ts>),
autolayer(<fbl_ts>) and
autoplot(<dcmp_ts>) now use the ggdist package
visualising uncertainty with distributional vectors.fable::ARIMA(box_cox(y, feasts::guerrero(y))).autoplot(<fbl_ts>) not
identifying multiple point forecasts by linetype.top_down() and
middle_out() reconciliation methods (#362, #364 @FedericoGarza). in a model formula for xreg implemented
with special_xreg() will now include all measured variables
(excluding the index and key variables).accuracy(<fbl_ts>) can now summarise accuracy
over key variables. This is done by specifying the accuracy
by argument and not including some (or all) of the fable’s
key variables (#341).forecast(), generate() will now keep
exogenous regressors in the output table.generics::forecast() for better compatibility
with registering methods alongside other packages (#375).hypothesize() generic for running statistical
tests on a trained model.combination_weighted() function for producing a
combination model with arbitrary weights.type = "innovation".0.7*mdl1 + 0.3*mdl2 - if mdl1 and
mdl2 are models with the same response variables, then the
resulting combination model will also have the same response
variable.xreg) in
reconciliation methods that partially forecast the hierarchy.mdl_df
(mable) objects were combined.outliers() generic for identifying the outliers
of a fitted model.special_xreg() special generator, for producing a
model matrix of exogenous regressors. It supports an argument for
controlling the default inclusion of an intercept.common_xregs helper from fable to fabletools
for providing a common and consistent interface for common time series
exogenous regressors.features() functions if the .index argument is
used in the function.fitted(h > 1) method (#302).scenarios() function for providing multiple
scenarios to the new_data argument. This allows different
sets of future exogenous regressors to be provided to functions like
forecast(), generate(), and
interpolate() (#110).quantile_score(), which is similar to
percentile_score() except it allows a set of quantile
probs to be provided (#280).autoplot(<dable>).
If the decomposition provides distributions for its components, then the
uncertainty of the components will be plotted with interval
ribbons.generate().fitted(<mable>, h > 1).as_fable(<forecast>) for converting older
forecast class objects to fable data
structures.top_down(method = "forecast_proportion") for
reconciliation using the forecast proportions techniques.middle_out() forecast reconciliation method.MDA(),
MDV() and MDPV() (#273, @davidtedfordholt).fill_gaps(<fable>).pinball_loss() and percentile_score()
accuracy measures are now scaled up by 2x for improved meaning. The loss
at 50% equals absolute error and the average loss equals CRPS
(#280)..x, preventing
conflicts with values named .x.box_cox() and inv_box_cox() are now
vectorised over the transformation parameter lambda.RMSSE() accuracy measure is now included in default
accuracy() measures.response variable in
as_fable() will no longer error, it now sets the provided
response value as the distribution’s new response.autoplot() are now always grouped
by the data’s key.bottom_up() aggregation mismatch for redundant
leaf nodes (#266).min_trace() reconciliation for degenerate
hierarchies (#267).select(<mable>) not keeping required key
variables (#297).... not being passed through in
report().bottom_up() forecast reconciliation method.skill_score() accuracy measure modifier.agg_vec() for manually producing aggregation
vectors.augment(), tidy() and
glance()) with model methods (such as
forecast() and generate()).agg_vec classes,
aggregated values will now always match regardless of the value
used.summarise() with a fable will now retain the
fable class if the distribution still exists under the same variable
name.as_fable.forecast() to convert forecast objects
from the forecast package to work with fable.CRPS() performance when using sampling
distributions (#240).features() (#258).future.apply() to parallelize forecast() when
the future package is attached (#268).augment() function are
no longer controlled by the type argument. Response
residuals (y - yhat) are now always found in the
.resid column, and innovation residuals (the model’s error)
are now found in the .innov column. Response residuals will
differ from innovation residuals when transformations are used, and if
the model has non-additive residuals.dist_*() functions are now removed, and are completely
replaced by the distributional package. These are removed to prevent
masking issues when loading packages.fortify(<fable>) will now return a tibble with
the same structure as the fable, which is more useful for plotting
forecast distributions with the ggdist package. It can no longer be used
to extract intervals from the forecasts, this can be done using
hilo(), and numerical values from a
<hilo> can be extracted with
unpack_hilo() or interval$lower.View() panel.aggregate_key() can now be used with non-syntactic
variable names.refit() dropping reconciliation attributes
(#251).mean(), median(),
variance(), quantile(), cdf() and
density().autoplot.fbl_ts() and autolayer.fbl_ts()
now accept the point_forecast argument, which is a named
list of functions that describe the method used to obtain the point
forecasts. If multiple are specified, each method will be identified
using the linetype.RMSSE(),
pinball_loss(), scaled_pinball_loss().mable_vars()), response
variables (response_vars()) and distribution variables
(distribution_var()).bind_*() and
*_join() operations on mables, dables, and fables. More
verbs are supported by these extension data classes, and so behaviour
should work closer to what is expected.progressr::with_progress()
function. Progress will no longer be displayed automatically during
lengthy calculations.hilo.fbl_ts() now keeps existing columns of a
fable.forecast() will now return an empty fable instead of
erroring when no forecasts are requested.is_aggregated() now works for non-aggregated data
types.forecast() now stores the
distribution in the column named the response variable (previously, this
was the point forecast). Point forecasts are now stored in the
.mean column, which can be customised using the
point_forecast argument.bias_adjust option for forecast() is replaced by
point_forecast, allowing you to specify which point
forecast measures to display (fable/#226). This has been done to reduce
confusion around the argument’s usage, disambiguate the returned point
forecast’s meaning, and also allow users to specify which (if any) point
forecasts to provide.as_mable,
as_dable, and as_fable have been changed to
accept character vectors for specifying common attributes (such as
response variables, and distributions).models argument for mable and
as_mable has been replaced with model for
consistency with the lack of plural in key.hilo intervals. The columns are the response
variables. Similar structures are returned when computing other
distributional statistics like the mean.hilo intervals can no longer be unnested as they are
now stored more efficiently as a vctrs record type. The
unpack_hilo() function will continue to function as
expected, and you can now obtain the components of the interval with
x$lower, x$upper, and
x$level,rbind() methods are deprecated in favour of
bind_rows()accuracy()) has changed (due to shift to
pivot_longer() from gather()). Model column
name values are now nested within key values, rather than key values
nested in model name values.show_gap option not working when more than one
forecast is plotted.autolayer() plotting issues due to inherited
aesthetics.aggregate_key() no longer drops keys, instead they are
kept as forecast() producing forecasts via h
when new_data does not include a given series (#202).xreg() can now be called directly as a special.accuracy.fbl_ts() error when certain names were
used in the fable.autoplot.fbl_ts() and
autolayer.fbl_ts() now support the show_gap
argument. This can be used to connect the historical observations to the
forecasts (#113).components(). For example,
tourism %>% STL(Trips) is now
tourism %>% model(STL(Trips)) %>% components(). This
change allows for more flexible decomposition specifications, and better
interfaces for decomposition modelling.select.mdl_df() usage with negative select values
(#120).features() for a tsibble with key variables but
only one series.stream() causing issues with subsequent methods
(#144).min_trace()
reconciliation (@GeorgeAthana).CRPS())
accuracy measure.scale(value) to be
used.min_trace(method = "wls_struct")) forecast reconciliation
(@GeorgeAthana).mdl_df) which
is a tibble-like data structure for applying multiple models to a
dataset. Each row of the mable refers to a different time series from
the data (identified by the key columns). A mable must contain at least
one column of time series models (mdl_ts), where the list
column itself (lst_mdl) describes how these models are
related.fbl_ts)
which is a tsibble-like data structure for representing forecasts. In
extension to the key and index from the tsibble (tbl_ts)
class, a fable (fbl_ts) must contain columns of point
forecasts for the response variable(s), and a single distribution column
(fcdist).dcmp_ts) which is a tsibble-like data structure for
representing decompositions. This data class is useful for representing
decompositions, as its print method describes how its columns can be
combined to produce the original data, and has a more appropriate
autoplot() method for displaying decompositions. Beyond
this, a dable (dcmp_ts) behaves very similarly to a tsibble
(tbl_ts).new_model_class(),
new_model_definition()) and decomposition definitions
(new_decomposition_class(),
new_decomposition_definition()).GDP/CPI, the response will be the
ratio of the pair. To transform a variable by some other data variable,
the response can be specified using resp(), giving
resp(GDP)/CPI. Multiple variables (and separate
transformations for each), can be specified using vars():
vars(log(GDP), CPI). The inputs to the model are specified
on the right hand side, and are handled using model defined specials
(new_specials()).model() is the recommended interface, which can fit many
model definitions to each time series in the input dataset returning a
mable (mdl_df). The lower level interface for model
estimation is accessible using estimate() which will return
a time series model (mdl_ts), however using this interface
is discouraged.forecast(), which allows you to produce future
predictions of a time series from fitted models. The methods provided in
fabletools handle the application of new data (such as the future index
or exogenous regressors) to model specials, giving a simple and
consistent interface to forecasting any model. The forecast methods will
automatically backtransform and bias adjust any transformations
specified in the model formula. This function returns a fable
(fbl_ts) object.fcdist) which is
used to describe the distribution of forecasts. Common forecast
distributions have been added to the package, including the normal
distribution (dist_normal()), multivariate normal
(dist_mv_normal()) and simulated/sampled distributions
(dist_sim()). In addition to this,
dist_unknown() is available for methods that don’t support
distributional forecasts. A new distribution can be added using the
new_fcdist() function. The forecast distribution class
handles transformations on the distribution, and is used to create
forecast intervals of the hilo class using the
hilo() function. Mathematical operations on the normal
distribution are supported.new_transformation()), and bias adjustment
(bias_adjust()) methods.aggregate_key(), which is used to compute all
levels of aggregation in a specified key structure. It supports nested
structures using parent / key and crossed structures using
keyA * keyB.reconcile(). This function modifies the way in which
forecasts from a model column are combined to give coherent forecasts.
In this version the MinT (min_trace()) reconciliation
technique is available. This is commonly used in combination with
aggregate_key().augment(),
tidy(), and glance().components(), which returns a dable
(dcmp_ts) that describes how the fitted values of a model
were obtained from its components. This is commonly used to visualise
the states of a state space model.equation(), which returns a formatted display of
a fitted model’s equation. This is commonly used to conveniently add
model equations to reports, and to better understand the structure of
the model.fitted(), model residuals with residuals(),
and the response variable with response(). These functions
return a tsibble (tbl_ts) object.refit(), which allows an estimated model to be
applied to a new dataset.report(), which provides a detailed summary of an
estimated model.generate() support, which is used to simulate
future paths from an estimated model.stream(), which allows an estimated model to be
extended using newly available data.interpolate(), which allows missing values from a
dataset to be interpolated using an estimated model (and model
appropriate interpolation strategy).features(), along with scoped variants
features_at(), features_if() and
features_all(). These functions make it easy to compute a
large collection of features for each time series in the input
dataset.feature_set(), which allows a collection of
registered features from loaded packages to be accessed using a tagging
system.decomposition_model(), which allows the
components from any decomposition method that returns a dable
(dcmp_ts) to be modelled separately and have their
forecasts combined to give forecasts on the original response
variable.combination_model(), which allows any model to be
combined with any other. This function accepts a function which
describes how the models are combined (such as
combination_ensemble()). A combination model can also be
obtained by using mathematical operations on model definitions or
estimated models.null_model(), which can be used as a empty model
in a mable (mdl_df). This is most commonly used as a
substitute for models which encountered an error, preventing the
successfully estimated models from being lost.accuracy(), which allows the accuracy of a model
to be evaluated. This function can be used to summarise model
performance on the training data (accuracy.mdl_df(),
accuracy.mdl_ts()), or to evaluate the accuracy of
forecasts over a test dataset (accuracy.fbl_ts()). Several
accuracy measures are supported, including
point_accuracy_measures (ME, MSE,
RMSE, MAE, MPE,
MAPE, MASE, ACF1),
interval_accuracy_measures (winkler_score) and
distribution_accuracy_measures
(percentile_score). These accuracy functions can be used in
conjunction with the rolling functions in the tsibble package
(stretch_tsibble(), slide_tsibble(),
tile_tsibble()) to computed time series cross-validated
accuracy measures.These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.