# ---- STANDARD ARIMA ---- context("TEST seasonal_reg() - stlm_ets") # CHECKS ---- test_that("seasonal_reg: stlm_ets", { testthat::skip_on_cran() # SETUP ---- # Split Data 80/20 splits <- initial_time_split(taylor_30_min, prop = 0.9) # Model Spec model_spec <- seasonal_reg(seasonal_period_1 = "1 day", seasonal_period_2 = "week") %>% set_engine("stlm_ets") # external regressors message expect_message({ seasonal_reg(seasonal_period_1 = 24*2) %>% set_engine("stlm_ets") %>% fit(value ~ date + month(date, label = TRUE), data = training(splits)) }) expect_error({ seasonal_reg(seasonal_period_1 = 1) %>% set_engine("stlm_ets") %>% fit(value ~ date, data = training(splits)) }) # PARSNIP ---- # * NO XREGS ---- # Fit Spec model_fit <- model_spec %>% fit(log(value) ~ date, data = training(splits)) # Predictions predictions_tbl <- model_fit %>% modeltime_calibrate(testing(splits)) %>% modeltime_forecast(new_data = testing(splits)) testthat::expect_s3_class(model_fit$fit, "stlm_ets_fit_impl") # $fit testthat::expect_s3_class(model_fit$fit$models$model_1, "stlm") testthat::expect_s3_class(model_fit$fit$data, "tbl_df") testthat::expect_equal(names(model_fit$fit$data)[1], "date") testthat::expect_true(is.null(model_fit$fit$extras$xreg_recipe)) # $fit xgboost testthat::expect_identical(model_fit$fit$models$model_2, NULL) # $preproc testthat::expect_equal(model_fit$preproc$y_var, "value") # Structure testthat::expect_identical(nrow(testing(splits)), nrow(predictions_tbl)) testthat::expect_identical(testing(splits)$date, predictions_tbl$.index) # Out-of-Sample Accuracy Tests resid <- testing(splits)$value - exp(predictions_tbl$.value) # - Max Error less than 1500 testthat::expect_lte(max(abs(resid)), 2500) # - MAE less than 700 testthat::expect_lte(mean(abs(resid)), 700) # ---- WORKFLOWS ---- # Recipe spec recipe_spec <- recipe(value ~ date, data = training(splits)) %>% step_log(value, skip = FALSE) # Workflow wflw <- workflow() %>% add_recipe(recipe_spec) %>% add_model(model_spec) wflw_fit <- wflw %>% fit(training(splits)) # Forecast predictions_tbl <- wflw_fit %>% modeltime_calibrate(testing(splits)) %>% modeltime_forecast(new_data = testing(splits), actual_data = training(splits)) %>% mutate_at(vars(.value), exp) testthat::expect_s3_class(wflw_fit$fit$fit$fit, "stlm_ets_fit_impl") # Structure testthat::expect_s3_class(wflw_fit$fit$fit$fit$data, "tbl_df") testthat::expect_equal(names(wflw_fit$fit$fit$fit$data)[1], "date") testthat::expect_true(is.null(wflw_fit$fit$fit$fit$extras$xreg_recipe)) # $fit arima testthat::expect_s3_class(wflw_fit$fit$fit$fit$models$model_1, "stlm") # $preproc mld <- wflw_fit %>% workflows::extract_mold() testthat::expect_equal(names(mld$outcomes), "value") full_data <- bind_rows(training(splits), testing(splits)) # Structure testthat::expect_identical(nrow(full_data), nrow(predictions_tbl)) testthat::expect_identical(full_data$date, predictions_tbl$.index) # Out-of-Sample Accuracy Tests predictions_tbl <- predictions_tbl %>% filter(.key == "prediction") resid <- testing(splits)$value - predictions_tbl$.value # - Max Error less than 1500 testthat::expect_lte(max(abs(resid)), 2500) # - MAE less than 700 testthat::expect_lte(mean(abs(resid)), 700) })