argo {argo}

Construct ARGO object

Description

Wrapper for ARGO. The real work horse is glmnet package and/or linear model.

Usage

argo(
  data,
  exogen = xts::xts(NULL),
  N_lag = 1:52,
  N_training = 104,
  alpha = 1,
  use_all_previous = FALSE,
  mc.cores = 1,
  schedule = list()
)

Arguments

data

response variable as xts, last element can be NA. If the response is later revised, it should be an xts that resembles upper triangular square matrix, with each column being the data available as of date of column name

exogen

exogenous predictors, default is NULL

N_lag

vector of the AR model lags used, if NULL then no AR lags will be used

N_training

number of training points, if use_all_previous is true, this is the least number of training points required

alpha

penalty between lasso and ridge, alpha=1 represents lasso, alpha=0 represents ridge, alpha=NA represents no penalty

use_all_previous

boolean variable indicating whether to use "all available data" (when TRUE) or "a sliding window" (when FALSE) for training

mc.cores

number of cores to compute argo in parallel

schedule

list to specify prediction schedule. Default to have y_gap as 1, and forecast as 0, i.e., nowcasting with past week ILI available from CDC.

Details

This function takes the time series and exogenous variables (optional) as input, and produces out-of-sample prediction for each time point.

Value

A list of following named objects

• pred An xts object with the same index as input, which contains historical nowcast estimation

• coef A matrix contains historical coefficient values of the predictors.

• parm Parameter values passed to argo function.

• penalfac the value of lambda ratio selected by cross-validation, NULL if lamid is NULL or has only one level.

• penalregion the lambda ratios that has a cross validation error within one standard error of minimum cross validation error

References

Yang, S., Santillana, M., & Kou, S. C. (2015). Accurate estimation of influenza epidemics using Google search data via ARGO. Proceedings of the National Academy of Sciences. <doi:10.1073/pnas.1515373112>.

Examples

GFT_xts <- xts::xts(exp(matrix(rnorm(180), ncol=1)), order.by = Sys.Date() - (180:1))
randomx <- xts::xts(exp(matrix(rnorm(180*100), ncol=100)), order.by = Sys.Date() - (180:1))

argo_result1 <- argo(GFT_xts)
argo_result2 <- argo(GFT_xts, exogen = randomx)