predict.forecast_model {forecastML}

Predict on validation datasets or forecast

Description

Predict with a 'forecast_model' object from train_model(). If data = create_lagged_df(..., type = "train"), predictions are returned for the outer-loop nested cross-validation datasets. If data is an object of class 'lagged_df' from create_lagged_df(..., type = "forecast"), predictions are returned for the horizons specified in create_lagged_df(horizons = ...).

Usage

## S3 method for class 'forecast_model'
predict(..., prediction_function = list(NULL), data)

Arguments

...

One or more trained models from train_model().

prediction_function

A list of user-defined prediction functions with length equal to the number of models supplied in .... The prediction functions take 2 required positional arguments–(1) a 'forecast_model' object from train_model() and (2) a data.frame of model features from create_lagged_df(). For numeric outcomes and method = "direct", the function should return() 1- or 3-column data.frame of model predictions. If the prediction function returns a 1-column data.frame, point forecasts are assumed. If the prediction function returns a 3-column data.frame, lower and upper forecast bounds are assumed (the order and names of the 3 columns does not matter). For factor outcomes and method = "direct", the function should return() (1) 1-column data.frame of the model-predicted factor level or (2) an L-column data.frame of class probabilities where 'L' equals the number of levels in the outcome; columns should be ordered, from left to right, the same as levels(data$outcome) which is the default behavior for most predict(..., type = "prob") functions. Column names do not matter. For numeric outcomes and method = "multi_output", the function should return() and h-column data.frame of model predictions–1 column for each horizon. Forecast intervals and factor outcomes are not currently supported with method = "multi_output".

data

If data is a training dataset from create_lagged_df(..., type = "train"), validation dataset predictions are returned; else, if data is a forecasting dataset from create_lagged_df(..., type = "forecast"), forecasts from horizons 1:h are returned.

Value

If data = create_lagged_df(..., type = "forecast"), an S3 object of class 'training_results'. If data = create_lagged_df(..., type = "forecast"), an S3 object of class 'forecast_results'.

Columns in returned 'training_results' data.frame:

• model: User-supplied model name in train_model().

• model_forecast_horizon: The direct-forecasting time horizon that the model was trained on.

• window_length: Validation window length measured in dataset rows.

• window_number: Validation dataset number.

• valid_indices: Validation dataset row names from attributes(create_lagged_df())$row_indices.

• date_indices: If given and method = "direct", validation dataset date indices from attributes(create_lagged_df())$date_indices. If given and method = "multi_output", date_indices represents the date of the forecast.

• "groups": If given, the user-supplied groups in create_lagged_df().

• "outcome_name": The target being forecasted.

• "outcome_name"_pred: The model predictions.

• "outcome_name"_pred_lower: If given, the lower prediction bounds returned by the user-supplied prediction function.

• "outcome_name"_pred_upper: If given, the upper prediction bounds returned by the user-supplied prediction function.

• forecast_indices: If method = "multi_output", the validation index of the h-step-ahead forecast.

• forecast_date_indices: If method = "multi_output", the validation date index of the h-step-ahead forecast.

Columns in returned 'forecast_results' data.frame:

• model: User-supplied model name in train_model().

• model_forecast_horizon: If method = "direct", the direct-forecasting time horizon that the model was trained on.

• horizon: Forecast horizons, 1:h, measured in dataset rows.

• window_length: Validation window length measured in dataset rows.

• forecast_period: The forecast period in row indices or dates. The forecast period starts at either attributes(create_lagged_df())$data_stop + 1 for row indices or attributes(create_lagged_df())$data_stop + 1 * frequency for date indices.

• "groups": If given, the user-supplied groups in create_lagged_df().

• "outcome_name": The target being forecasted.

• "outcome_name"_pred: The model forecasts.

• "outcome_name"_pred_lower: If given, the lower forecast bounds returned by the user-supplied prediction function.

• "outcome_name"_pred_upper: If given, the upper forecast bounds returned by the user-supplied prediction function.

Examples

# Sampled Seatbelts data from the R package datasets.
data("data_seatbelts", package = "forecastML")

# Example - Training data for 2 horizon-specific models w/ common lags per predictor.
horizons <- c(1, 12)
lookback <- 1:15

data_train <- create_lagged_df(data_seatbelts, type = "train", outcome_col = 1,
                               lookback = lookback, horizon = horizons)

# One custom validation window at the end of the dataset.
windows <- create_windows(data_train, window_start = 181, window_stop = 192)

# User-define model - LASSO
# A user-defined wrapper function for model training that takes the following
# arguments: (1) a horizon-specific data.frame made with create_lagged_df(..., type = "train")
# (e.g., my_lagged_df$horizon_h) and, optionally, (2) any number of additional named arguments
# which are passed as '...' in train_model().
library(glmnet)
model_function <- function(data, my_outcome_col) {

  x <- data[, -(my_outcome_col), drop = FALSE]
  y <- data[, my_outcome_col, drop = FALSE]
  x <- as.matrix(x, ncol = ncol(x))
  y <- as.matrix(y, ncol = ncol(y))

  model <- glmnet::cv.glmnet(x, y, nfolds = 3)
  return(model)
}

# my_outcome_col = 1 is passed in ... but could have been defined in model_function().
model_results <- train_model(data_train, windows, model_name = "LASSO", model_function,
                             my_outcome_col = 1)

# User-defined prediction function - LASSO
# The predict() wrapper takes two positional arguments. First,
# the returned model from the user-defined modeling function (model_function() above).
# Second, a data.frame of predictors--identical to the datasets returned from
# create_lagged_df(..., type = "train"). The function can return a 1- or 3-column data.frame
# with either (a) point forecasts or (b) point forecasts plus lower and upper forecast
# bounds (column order and column names do not matter).
prediction_function <- function(model, data_features) {

  x <- as.matrix(data_features, ncol = ncol(data_features))

  data_pred <- data.frame("y_pred" = predict(model, x, s = "lambda.min"))
  return(data_pred)
}

# Predict on the validation datasets.
data_valid <- predict(model_results, prediction_function = list(prediction_function),
                      data = data_train)

# Forecast.
data_forecast <- create_lagged_df(data_seatbelts, type = "forecast", outcome_col = 1,
                                  lookback = lookback, horizon = horizons)

data_forecasts <- predict(model_results, prediction_function = list(prediction_function),
                          data = data_forecast)