Time Series Cross-Validation

Functions and utilities for time series cross-validation

make_accuracy()

Estimate accuracy metrics to evaluate point forecast

make_errors()

Calculate forecast errors and percentage errors

make_future()

Convert the forecasts from a fable to a future_frame

make_split()

Create a split_frame for train and test splits per time series.

make_tsibble()

Convert tibble to tsibble

slice_train()

Slice the train data from the complete data

slice_test()

Slice the test data from the complete data

Data visualization

Functions and utilities for data visualization

plot_line()

Plot data as line chart

plot_bar()

Plot data as bar chart

plot_point()

Plot data as scatterplot

plot_histogram()

Plot data as histogram

plot_density()

Plot the density via Kernel Density Estimator

plot_qq()

Quantile-Quantile plot

theme_tscv()

Custom ggplot2 theme for tscv package

theme_tscv_dark()

Dark ggplot2 theme for tscv package

scale_color_tscv()

Color scale constructor for tscv colors.

scale_fill_tscv()

Fill scale constructor for tscv colors.

tscv_cols()

Function to extract tscv colors as hex codes.

tscv_pal()

Return function to interpolate a tscv color palette.

Forecasting

DSHW

The DSHW model and its supported methods

DSHW()

Automatic train a DSHW model

forecast(<DSHW>)

Forecast a trained DSHW model

fitted(<DSHW>)

Extract fitted values from a trained DSHW model

residuals(<DSHW>)

Extract residuals from a trained DSHW model

model_sum(<DSHW>)

Provide a succinct summary of a trained DSHW model

train_dshw()

Double Seasonal Holt-Winters model

ELM

The ELM model and its supported methods

ELM()

Extreme Learning Machine (ELM)

forecast(<ELM>)

Forecast a trained ELM model

fitted(<ELM>)

Extract fitted values from a trained ELM model

residuals(<ELM>)

Extract residuals from a trained ELM model

model_sum(<ELM>)

Provide a succinct summary of a trained ELM model

train_elm()

Extreme Learning Machine (ELM)

MLP

The MLP model and its supported methods

MLP()

Automatic training of MLPs

forecast(<MLP>)

Forecast a trained MLP model

fitted(<MLP>)

Extract fitted values from a trained MLP model

residuals(<MLP>)

Extract residuals from a trained MLP model

model_sum(<MLP>)

Provide a succinct summary of a trained MLP model

train_mlp()

Multilayer Perceptron (MLP)

SMEAN

The SMEAN model and its supported methods

SMEAN()

Seasonal mean model

forecast(<SMEAN>)

Forecast a trained seasonal mean model

fitted(<SMEAN>)

Extract fitted values from a trained seasonal mean model

residuals(<SMEAN>)

Extract residuals from a trained seasonal mean model

model_sum(<SMEAN>)

Provide a succinct summary of a trained seasonal mean model

train_smean()

Seasonal mean model

SMEDIAN

The SMEDIAN model and its supported methods

SMEDIAN()

Seasonal median model

forecast(<SMEDIAN>)

Forecast a trained seasonal median model

fitted(<SMEDIAN>)

Extract fitted values from a trained seasonal median model

residuals(<SMEDIAN>)

Extract residuals from a trained seasonal median model

model_sum(<SMEDIAN>)

Provide a succinct summary of a trained seasonal median model

train_smedian()

Seasonal median model

MEDIAN

The MEDIAN model and its supported methods

MEDIAN()

Median model

forecast(<MEDIAN>)

Forecast a trained median model

fitted(<MEDIAN>)

Extract fitted values from a trained median model

residuals(<MEDIAN>)

Extract residuals from a trained median model

model_sum(<MEDIAN>)

Provide a succinct summary of a trained median model

train_median()

Median model

SNAIVE2

The SNAIVE2 model and its supported methods

SNAIVE2()

Seasonal naive model

forecast(<SNAIVE2>)

Forecast a trained seasonal naive model

fitted(<SNAIVE2>)

Extract fitted values from a trained seasonal naive model

residuals(<SNAIVE2>)

Extract residuals from a trained seasonal naive model

model_sum(<SNAIVE2>)

Provide a succinct summary of a trained seasonal naive model

train_snaive2()

Seasonal naive model

TBATS

The TBATS model and its supported methods

TBATS()

Automatic train a TBATS model

forecast(<TBATS>)

Forecast a trained TBATS model

fitted(<TBATS>)

Extract fitted values from a trained TBATS model

residuals(<TBATS>)

Extract residuals from a trained TBATS model

model_sum(<TBATS>)

Provide a succinct summary of a trained TBATS model

train_tbats()

TBATS model

EXPERT

The EXPERT model and its supported methods

EXPERT()

Automatic train a EXPERT model

forecast(<EXPERT>)

Forecast a trained EXPERT model

fitted(<EXPERT>)

Extract fitted values from a trained EXPERT model

residuals(<EXPERT>)

Extract residuals from a trained EXPERT model

model_sum(<EXPERT>)

Provide a succinct summary of a trained EXPERT model

train_expert()

EXPERT model

Miscellaneous

Functions and utilities for data preparation, etc.

estimate_mode()

Estimate mode of a distribution based on Kernel Density Estimation

estimate_kurtosis()

Estimate kurtosis

estimate_skewness()

Estimate skewness

acf_vec()

Estimate the sample autocorrelation of a numeric vector

estimate_acf()

Estimate the sample autocorrelation

pacf_vec()

Estimate the sample partial autocorrelation of a numeric vector

estimate_pacf()

Estimate the sample partial autocorrelation

interpolate_missing()

Interpolate missing values

smooth_outlier()

Identify and replace outliers

lst_to_env()

Assign objects within a list to an environment

check_data()

Check, convert and shape the input data

summarise_data()

Summary statistics for time series data

summarise_stats()

Summary statistics for time series data

summarise_split()

Summary table of the splitting into training and testing

initialize_split()

Initialize a plan for train-test split

split_index()

Create indices for train and test splits.

expand_split()

Expand the split_frame

file_name()

Create a name for a folder or file

number_string()

Helper function to create numbered strings.

`%out%`

Negated value matching

log_header()

Create string with header for log file.

log_time()

Create string with elapsed time.

Data sets

Example data sets

elec_load

Hourly electricity load (actual values and forecasts)

elec_price

Hourly day-ahead electricity spot prices

M4_monthly_data

Monthly time series data from the M4 Competition

M4_quarterly_data

Quarterly time series data from the M4 Competition