Function estimates CES in state space form with information potential equal to errors with different seasonality types and chooses the one with the lowest IC value.
auto.ces(data, models = c("none", "simple", "full"),
initial = c("optimal", "backcasting"), ic = c("AICc", "AIC", "BIC",
"BICc"), cfType = c("MSE", "MAE", "HAM", "MSEh", "TMSE", "GTMSE",
"MSCE"), h = 10, holdout = FALSE, cumulative = FALSE,
intervals = c("none", "parametric", "semiparametric", "nonparametric"),
level = 0.95, intermittent = c("none", "auto", "fixed", "interval",
"probability", "sba", "logistic"), imodel = "MNN",
bounds = c("admissible", "none"), silent = c("all", "graph",
"legend", "output", "none"), xreg = NULL, xregDo = c("use",
"select"), initialX = NULL, updateX = FALSE, persistenceX = NULL,
transitionX = NULL, ...)Vector or ts object, containing data needed to be forecasted.
The vector containing several types of seasonality that should be used in CES selection. See ces for more details about the possible types of seasonal models.
Can be either character or a vector of initial states. If it
is character, then it can be "optimal", meaning that the initial
states are optimised, or "backcasting", meaning that the initials are
produced using backcasting procedure.
The information criterion used in the model selection procedure.
Type of Cost Function used in optimization. cfType can
be: MSE (Mean Squared Error), MAE (Mean Absolute Error),
HAM (Half Absolute Moment), TMSE - Trace Mean Squared Error,
GTMSE - Geometric Trace Mean Squared Error, MSEh - optimisation
using only h-steps ahead error, MSCE - Mean Squared Cumulative Error.
If cfType!="MSE", then likelihood and model selection is done based
on equivalent MSE. Model selection in this cases becomes not optimal.
There are also available analytical approximations for multistep functions:
aMSEh, aTMSE and aGTMSE. These can be useful in cases
of small samples.
Finally, just for fun the absolute and half analogues of multistep estimators
are available: MAEh, TMAE, GTMAE, MACE, TMAE,
HAMh, THAM, GTHAM, CHAM.
Length of forecasting horizon.
If TRUE, holdout sample of size h is taken from
the end of the data.
If TRUE, then the cumulative forecast and prediction
intervals are produced instead of the normal ones. This is useful for
inventory control systems.
Type of intervals to construct. This can be:
none, aka n - do not produce prediction
intervals.
parametric, p - use state-space structure of ETS. In
case of mixed models this is done using simulations, which may take longer
time than for the pure additive and pure multiplicative models.
semiparametric, sp - intervals based on covariance
matrix of 1 to h steps ahead errors and assumption of normal / log-normal
distribution (depending on error type).
nonparametric, np - intervals based on values from a
quantile regression on error matrix (see Taylor and Bunn, 1999). The model
used in this process is e[j] = a j^b, where j=1,..,h.
The parameter also accepts TRUE and FALSE. The former means that
parametric intervals are constructed, while the latter is equivalent to
none.
If the forecasts of the models were combined, then the intervals are combined
quantile-wise (Lichtendahl et al., 2013).
Confidence level. Defines width of prediction interval.
Defines type of intermittent model used. Can be: 1.
none, meaning that the data should be considered as non-intermittent;
2. fixed, taking into account constant Bernoulli distribution of
demand occurrences; 3. interval, Interval-based model, underlying
Croston, 1972 method; 4. probability, Probability-based model,
underlying Teunter et al., 2011 method. 5. auto - automatic selection
of intermittency type based on information criteria. The first letter can be
used instead. 6. "sba" - Syntetos-Boylan Approximation for Croston's
method (bias correction) discussed in Syntetos and Boylan, 2005. 7.
"logistic" - the probability is estimated based on logistic regression
model principles.
Type of ETS model used for the modelling of the time varying probability. Object of the class "iss" can be provided here, and its parameters would be used in iETS model.
What type of bounds to use in the model estimation. The first letter can be used instead of the whole word.
If silent="none", then nothing is silent, everything is
printed out and drawn. silent="all" means that nothing is produced or
drawn (except for warnings). In case of silent="graph", no graph is
produced. If silent="legend", then legend of the graph is skipped.
And finally silent="output" means that nothing is printed out in the
console, but the graph is produced. silent also accepts TRUE
and FALSE. In this case silent=TRUE is equivalent to
silent="all", while silent=FALSE is equivalent to
silent="none". The parameter also accepts first letter of words ("n",
"a", "g", "l", "o").
Vector (either numeric or time series) or matrix (or data.frame)
of exogenous variables that should be included in the model. If matrix
included than columns should contain variables and rows - observations. Note
that xreg should have number of observations equal either to
in-sample or to the whole series. If the number of observations in
xreg is equal to in-sample, then values for the holdout sample are
produced using es function.
Variable defines what to do with the provided xreg:
"use" means that all of the data should be used, while
"select" means that a selection using ic should be done.
"combine" will be available at some point in future...
Vector of initial parameters for exogenous variables.
Ignored if xreg is NULL.
If TRUE, transition matrix for exogenous variables is
estimated, introducing non-linear interactions between parameters.
Prerequisite - non-NULL xreg.
Persistence vector \(g_X\), containing smoothing
parameters for exogenous variables. If NULL, then estimated.
Prerequisite - non-NULL xreg.
Transition matrix \(F_x\) for exogenous variables. Can
be provided as a vector. Matrix will be formed using the default
matrix(transition,nc,nc), where nc is number of components in
state vector. If NULL, then estimated. Prerequisite - non-NULL
xreg.
Other non-documented parameters. For example FI=TRUE
will make the function produce Fisher Information matrix, which then can be
used to calculated variances of parameters of the model.
Object of class "smooth" is returned. See ces for details.
The function estimates several Complex Exponential Smoothing in the state space 2 described in Svetunkov, Kourentzes (2015) with the information potential equal to the approximation error using different types of seasonality and chooses the one with the lowest value of information criterion.
Svetunkov, I., Kourentzes, N. (February 2015). Complex exponential smoothing. Working Paper of Department of Management Science, Lancaster University 2015:1, 1-31.
Svetunkov I., Kourentzes N. (2017) Complex Exponential Smoothing for Time Series Forecasting. Not yet published.
# NOT RUN {
y <- ts(rnorm(100,10,3),frequency=12)
# CES with and without holdout
auto.ces(y,h=20,holdout=TRUE)
auto.ces(y,h=20,holdout=FALSE)
library("Mcomp")
# }
# NOT RUN {
y <- ts(c(M3$N0740$x,M3$N0740$xx),start=start(M3$N0740$x),frequency=frequency(M3$N0740$x))
# Selection between "none" and "full" seasonalities
auto.ces(y,h=8,holdout=TRUE,models=c("n","f"),intervals="p",level=0.8,ic="AIC")
# }
# NOT RUN {
y <- ts(c(M3$N1683$x,M3$N1683$xx),start=start(M3$N1683$x),frequency=frequency(M3$N1683$x))
ourModel <- auto.ces(y,h=18,holdout=TRUE,intervals="sp")
summary(ourModel)
forecast(ourModel)
plot(forecast(ourModel))
# }
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