# ---- STANDARD ARIMA ---- context("TEST arima_reg: Arima") # SETUP ---- # Data m750 <- timetk::m4_monthly %>% dplyr::filter(id == "M750") # Split Data 80/20 splits <- rsample::initial_time_split(m750, prop = 0.8) # Model Spec model_spec <- arima_reg( seasonal_period = 12, non_seasonal_ar = 3, non_seasonal_differences = 1, non_seasonal_ma = 3, seasonal_ar = 1, seasonal_differences = 0, seasonal_ma = 1 ) %>% parsnip::set_engine("arima") # PARSNIP ---- # * NO XREGS ---- # TESTS test_that("arima_reg: Arima, (No xregs), Test Model Fit Object", { skip_on_cran() # # Fit Spec model_fit <- model_spec %>% fit(log(value) ~ date, data = rsample::training(splits)) # Predictions predictions_tbl <- model_fit %>% modeltime_calibrate(rsample::testing(splits)) %>% modeltime_forecast(new_data = rsample::testing(splits)) expect_s3_class(model_fit$fit, "Arima_fit_impl") # $fit expect_s3_class(model_fit$fit$models$model_1, "Arima") expect_s3_class(model_fit$fit$data, "tbl_df") expect_equal(names(model_fit$fit$data)[1], "date") expect_null(model_fit$fit$extras$xreg_recipe) # $preproc expect_equal(model_fit$preproc$y_var, "value") # arima_reg: Arima, (No xregs), Test Predictions # Structure expect_identical(nrow(rsample::testing(splits)), nrow(predictions_tbl)) expect_identical(rsample::testing(splits)$date, predictions_tbl$.index) # Out-of-Sample Accuracy Tests resid <- rsample::testing(splits)$value - exp(predictions_tbl$.value) # - Max Error less than 1500 expect_lte(max(abs(resid)), 1500) # - MAE less than 700 expect_lte(mean(abs(resid)), 700) }) # * XREGS ---- # TESTS test_that("arima_reg: Arima, (XREGS), Test Model Fit Object", { skip_on_cran() # # Fit Spec model_fit <- model_spec %>% fit(log(value) ~ date + lubridate::month(date, label = TRUE), data = rsample::training(splits)) # Predictions predictions_tbl <- model_fit %>% modeltime_calibrate(rsample::testing(splits)) %>% modeltime_forecast(new_data = rsample::testing(splits)) expect_s3_class(model_fit$fit, "Arima_fit_impl") # $fit expect_s3_class(model_fit$fit$models$model_1, "Arima") expect_s3_class(model_fit$fit$data, "tbl_df") expect_equal(names(model_fit$fit$data)[1], "date") expect_true(!is.null(model_fit$fit$extras$xreg_recipe)) # $preproc expect_equal(model_fit$preproc$y_var, "value") # arima_reg: Arima (XREGS), Test Predictions # Structure expect_identical(nrow(rsample::testing(splits)), nrow(predictions_tbl)) expect_identical(rsample::testing(splits)$date, predictions_tbl$.index) # Out-of-Sample Accuracy Tests resid <- rsample::testing(splits)$value - exp(predictions_tbl$.value) # - Max Error less than 1500 expect_lte(max(abs(resid)), 1200) # - MAE less than 700 expect_lte(mean(abs(resid)), 500) }) # ---- WORKFLOWS ---- # TESTS test_that("arima_reg: Arima (workflow), Test Model Fit Object", { skip_on_cran() # Model Spec model_spec <- arima_reg( seasonal_period = 12, non_seasonal_ar = 3, non_seasonal_differences = 1, non_seasonal_ma = 3, seasonal_ar = 1, seasonal_differences = 0, seasonal_ma = 1 ) %>% parsnip::set_engine("arima") # Recipe spec recipe_spec <- recipes::recipe(value ~ date, data = rsample::training(splits)) %>% recipes::step_log(value, skip = FALSE) # Workflow wflw <- workflows::workflow() %>% workflows::add_recipe(recipe_spec) %>% workflows::add_model(model_spec) wflw_fit <- wflw %>% fit(rsample::training(splits)) # Forecast predictions_tbl <- wflw_fit %>% modeltime_calibrate(rsample::testing(splits)) %>% modeltime_forecast(new_data = rsample::testing(splits), actual_data = rsample::training(splits)) %>% dplyr::mutate(dplyr::across(.value, exp)) expect_s3_class(wflw_fit$fit$fit$fit, "Arima_fit_impl") # $fit expect_s3_class(wflw_fit$fit$fit$fit$models$model_1, "Arima") expect_s3_class(wflw_fit$fit$fit$fit$data, "tbl_df") expect_equal(names(wflw_fit$fit$fit$fit$data)[1], "date") expect_null(wflw_fit$fit$fit$fit$extras$xreg_recipe) # $preproc mld <- wflw_fit %>% workflows::extract_mold() expect_equal(names(mld$outcomes), "value") # arima_reg: Arima (workflow), Test Predictions full_data <- dplyr::bind_rows(rsample::training(splits), rsample::testing(splits)) # Structure expect_identical(nrow(full_data), nrow(predictions_tbl)) expect_identical(full_data$date, predictions_tbl$.index) # Out-of-Sample Accuracy Tests predictions_tbl <- predictions_tbl %>% dplyr::filter(.key == "prediction") resid <- rsample::testing(splits)$value - predictions_tbl$.value # - Max Error less than 1500 expect_lte(max(abs(resid)), 1500) # - MAE less than 700 expect_lte(mean(abs(resid)), 700) })