vmdLSTM {decompDL}

Variational Mode Decomposition Based LSTM Model

Description

This function computes forecasted value with different forecasting evaluation criteria for Variational Mode Decomposition (VMD) Based LSTM Model.

Usage

vmdLSTM (data, spl=0.8, n=4, alpha=2000, tau=0, D=FALSE, LU = 2, Epochs = 2)

Arguments

data

Input univariate time series (ts) data.

spl

The forecast horizon.

n

The number of IMFs.

alpha

The balancing parameter.

tau

Time-step of the dual ascent.

D

a boolean.

LU

Number of unit in GRU layer.

Epochs

Number of epochs.

Details

The Variational Mode Decomposition method is a novel adaptive, non-recursive signal decomposition technology, which was introduced by Dragomiretskiy and Zosso (2014). VMD method helps to solve current decomposition methods limitation such as lacking mathematical theory, recursive sifting process which not allows for backward error correction, hard-band limits, the requirement to predetermine filter bank boundaries, and sensitivity to noise. It decomposes a series into sets of IMFs. LSTM used to forecast decomposed components individually . Finally, the prediction results of all components are aggregated to formulate an ensemble output for the input time series.

Value

TotalIMF

Total number of IMFs.

AllIMF

List of all IMFs with residual for input series.

data_test

Testing set used to measure the out of sample performance.

AllIMF_forecast

Forecasted value of all individual IMF.

FinalVMDLSTM_forecast

Final forecasted value of the VMD based LSTM model. It is obtained by combining the forecasted value of all individual IMF.

MAE_VMDLSTM

Mean Absolute Error (MAE) for VMD based LSTM model.

MAPE_VMDLSTM

Mean Absolute Percentage Error (MAPE) for VMD based LSTM model.

rmse_VMDLSTM

Root Mean Square Error (RMSE) for VMD based LSTM model.

AllIMF_plots

Decomposed IMFs and residual plot.

plot_testset

Test set forecasted vs actual value plot.

References

Choudhary, K., Jha, G.K., Kumar, R.R. and Mishra, D.C. (2019) Agricultural commodity price analysis using ensemble empirical mode decomposition: A case study of daily potato price series. Indian journal of agricultural sciences, 89(5), 882–886.

Wu, Z. and Huang, N.E. (2009) Ensemble empirical mode decomposition: a noise assisted data analysis method. Advances in adaptive data analysis, 1(1), 1–41.

See Also

emdLSTM

Examples

data("Data_Maize")
vmdLSTM(Data_Maize)