fable::model() 将外部回归量列表传递给 ARIMA() [英] fable::model() pass lists of external regressors to ARIMA()
问题描述
我想将具有不同外部回归量的模型列表传递给fable::model() 中的一个 ARIMA 模型.最后,我想将几个(最多 10 个)外部变量的所有可能组合传递给 ARIMA().
I would like to pass a list of models with different external regressors to an ARIMA model within fable::model(). Ultimately, I would like to pass every possible combination of a few (up to 10) external variables to ARIMA().
以美国家庭预算数据为例
Using the household budget data for the US as an example
library(tidyverse)
library(tsibble)
library(tsibbledata)
library(fable)
library(forecast)
aus <- hh_budget %>%
filter(Country == "Australia") %>%
select(-Country)
我想在不必明确编写模型公式的情况下执行以下操作
I would like to do the following without having to explicitly write the model formula
fit1 <- aus %>%
model(arima = ARIMA(Debt ~ DI))
fit2 <- aus %>%
model(arima = ARIMA(Debt ~ DI + Expenditure))
fit3 <- aus %>%
model(arima = ARIMA(Debt ~ DI + Expenditure + Savings))
我无法让模型(arima = ARIMA()) 使用不断变化的公式.
简单示例
target <- "Debt"
xregs <- paste0(names(aus)[3:4], collapse = " + ") %>% noquote()
fit2 <- aus %>%
model(arima = ARIMA(target ~ xregs))
映射列表示例
# Build lists of external regressor combinations
subsets_list <- function(set, subset_size) {
combn(set, subset_size) %>%
BBmisc::convertColsToList() %>%
unname()
}
xregs <-
map(.x = 1:(length(aus) - 2), .f = subsets_list,
set = colnames(aus[3:length(aus)])) %>%
unlist(recursive = F)
model_arima <- function(tsibble, target, xregs){
model(arima = ARIMA(y = tsibble[, target],
xreg = tsibble[, xregs],
lambda = "auto"))
}
fit <- map(.x = xregs,
.f = model_arima,
tsibble = aus,
target = target)
这就是我在forecast::auto.arima() 中的做法
aus_ts <- aus %>%
as_tibble(.) %>%
select(-Year) %>%
ts(., start = 1995, frequency = 1)
auto_arima <- function(ts, target, xregs){
auto.arima(y = ts[, target],
xreg = ts[, xregs],
lambda = "auto")
}
fit <- map(.x = xregs, .f = auto_arima, ts = aus_ts, target = target)
推荐答案
您可以通过多种方式以编程方式创建公式.最简单的是使用 as.formula()
:
You can create formulas programmatically in a variety of ways.
The simplest is to use as.formula()
:
library(tidyverse)
library(fable)
aus <- tsibbledata::hh_budget %>%
filter(Country == "Australia") %>%
select(-Country)
target <- "Debt"
xregs <- paste0(names(aus)[3:4], collapse = " + ")
as.formula(paste(target, xregs, sep ="~"))
#> Debt ~ DI + Expenditure
由 reprex 包 (v0.3.0) 于 2020 年 7 月 3 日创建上>
Created on 2020-07-03 by the reprex package (v0.3.0)
使用这种方法使用解析器,它对非标准变量名有限制.要更精确地构造公式,您可以使用 rlang::new_formula()
.
Using this approach uses the parser, which has limitations for non-standard variable names. For more precise construction of formulas, you can use rlang::new_formula()
.
要估计所需的模型集,您可以使用:
To estimate your desired set of models, you can use:
# Load libraries
library(tidyverse)
library(fable)
# Prepare data
aus <- tsibbledata::hh_budget %>%
filter(Country == "Australia") %>%
select(-Country)
# Construct formulas
xregs <- c("DI", "Expenditure", "Savings")
rhs <- map_chr(seq_along(xregs), ~ paste(xregs[seq_len(.)], collapse = " + "))
lhs <- "Debt"
formulas <- map(paste(lhs, rhs, sep = " ~ "), as.formula)
# Create model specifications
model_specs <- set_names(map(formulas, ARIMA), formulas)
# Estimate models
aus %>%
model(!!!model_specs)
#> # A mable: 1 x 3
#> `Debt ~ DI` `Debt ~ DI + Expenditure`
#> <model> <model>
#> 1 <LM w/ ARIMA(1,1,0) errors> <LM w/ ARIMA(1,1,0) errors>
#> # … with 1 more variable: `Debt ~ DI + Expenditure + Savings` <model>
由 reprex 包 (v0.3.0) 于 2020 年 7 月 3 日创建上>
Created on 2020-07-03 by the reprex package (v0.3.0)
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