# ---- NNETAR ---- context("TEST nnetar_reg") # SETUP ---- # Data m750 <- timetk::m4_monthly %>% dplyr::filter(id == "M750") # Split Data 80/20 splits <- rsample::initial_time_split(m750, prop = 0.8) # PARSNIP ---- # * NO XREGS ---- # TESTS test_that("nnetar_reg: Parsnip", { skip_on_cran() # Model Spec model_spec <- nnetar_reg( seasonal_period = 12, non_seasonal_ar = 3, seasonal_ar = 1, hidden_units = 6, num_networks = 15, penalty = 0.1, epochs = 50 ) %>% parsnip::set_engine("nnetar") # Fit Spec set.seed(123) 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, "nnetar_fit_impl") # $fit expect_s3_class(model_fit$fit$models$model_1, "nnetar") expect_s3_class(model_fit$fit$data, "tbl_df") expect_equal(names(model_fit$fit$data)[1], "date") expect_null(model_fit$fit$extras$xreg_recipe) expect_identical(model_fit$fit$models$model_1$p, 3) expect_identical(model_fit$fit$models$model_1$P, 1) expect_identical(model_fit$fit$models$model_1$size, 6) # nnets expect_identical(length(model_fit$fit$models$model_1$model), 15L) expect_identical(model_fit$fit$models$model_1$model[[1]]$decay, 0.1) # $preproc expect_equal(model_fit$preproc$y_var, "value") # Structure expect_identical(nrow(rsample::testing(splits)), nrow(predictions_tbl)) expect_identical(rsample::testing(splits)$date, predictions_tbl$.index) # Out-of-Sample Accuracy Tests resid <- rsample::testing(splits)$value - exp(predictions_tbl$.value) # - Max Error less than 1500 expect_lte(max(abs(resid)), 1600) # - MAE less than 700 expect_lte(mean(abs(resid)), 700) # * XREGS ---- # Fit set.seed(123) model_fit <- model_spec %>% fit(log(value) ~ date + lubridate::month(date, label = TRUE), data = rsample::training(splits)) # Predictions predictions_tbl <- model_fit %>% modeltime_calibrate(rsample::testing(splits)) %>% modeltime_forecast(new_data = rsample::testing(splits)) expect_s3_class(model_fit$fit, "nnetar_fit_impl") # $fit expect_s3_class(model_fit$fit$models$model_1, "nnetar") 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$xreg_recipe)) expect_identical(model_fit$fit$models$model_1$p, 3) expect_identical(model_fit$fit$models$model_1$P, 1) expect_identical(model_fit$fit$models$model_1$size, 6) # nnets expect_identical(length(model_fit$fit$models$model_1$model), 15L) expect_identical(model_fit$fit$models$model_1$model[[1]]$decay, 0.1) # $preproc expect_equal(model_fit$preproc$y_var, "value") # Structure expect_identical(nrow(rsample::testing(splits)), nrow(predictions_tbl)) expect_identical(rsample::testing(splits)$date, predictions_tbl$.index) # Out-of-Sample Accuracy Tests resid <- rsample::testing(splits)$value - exp(predictions_tbl$.value) # - Max Error 967.2171 expect_lte(max(abs(resid)), 1250) # - MAE 407.0114 expect_lte(mean(abs(resid)), 500) }) # ---- WORKFLOWS ---- # TESTS test_that("nnetar_reg: (workflow)", { skip_on_cran() # Model Spec model_spec <- nnetar_reg( seasonal_period = 12, non_seasonal_ar = 3, seasonal_ar = 1, hidden_units = 6, num_networks = 15, penalty = 0.1, epochs = 50 ) %>% parsnip::set_engine("nnetar") # Recipe spec recipe_spec <- recipes::recipe(value ~ date, data = rsample::training(splits)) %>% recipes::step_log(value, skip = FALSE) # Workflow wflw <- workflows::workflow() %>% workflows::add_recipe(recipe_spec) %>% workflows::add_model(model_spec) set.seed(123) wflw_fit <- wflw %>% fit(rsample::training(splits)) # Forecast predictions_tbl <- wflw_fit %>% modeltime_calibrate(rsample::testing(splits)) %>% modeltime_forecast(new_data = rsample::testing(splits), actual_data = rsample::training(splits)) %>% dplyr::mutate(dplyr::across(.value, exp)) expect_s3_class(wflw_fit$fit$fit$fit, "nnetar_fit_impl") # $fit expect_s3_class(wflw_fit$fit$fit$fit$models$model_1, "nnetar") 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$xreg_recipe) expect_identical(wflw_fit$fit$fit$fit$models$model_1$p, 3) expect_identical(wflw_fit$fit$fit$fit$models$model_1$P, 1) expect_identical(wflw_fit$fit$fit$fit$models$model_1$size, 6) # nnets expect_identical(length(wflw_fit$fit$fit$fit$models$model_1$model), 15L) expect_identical(wflw_fit$fit$fit$fit$models$model_1$model[[1]]$decay, 0.1) # $preproc mld <- wflw_fit %>% workflows::extract_mold() expect_equal(names(mld$outcomes), "value") # 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 1501.464 expect_lte(max(abs(resid)), 1600) # - MAE less than 700 expect_lte(mean(abs(resid)), 700) })