context("test-gts.R -- Lrnr_gts for grouped time series forecasts") skip() if (!identical(Sys.getenv("NOT_CRAN"), "true")) { return() } if (FALSE) { setwd("..") setwd("..") getwd() library("devtools") document() # load all R files in /R and datasets in /data. Ignores NAMESPACE: load_all("./") # devtools::check() # runs full check setwd("..") # INSTALL W/ devtools: install("sl3", build_vignettes = FALSE, dependencies = FALSE) } # Example adapted from hts package manual # The hierarchical structure looks like 2 child nodes associated with level 1, # which are followed by 3 and 2 sub-child nodes respectively at level 2. library(hts) set.seed(3274) abc <- as.data.table(5 + matrix(sort(rnorm(200)), ncol = 4, nrow = 50)) setnames(abc, paste("Series", 1:ncol(abc), sep = "_")) abc[, time := .I] grps <- rbind(c(1, 1, 2, 2), c(1, 2, 1, 2)) horizon <- 12 suppressWarnings(abc_long <- melt(abc, id = "time", variable.name = "series")) # create sl3 task (no outcome for hierarchical/grouped series) node_list <- list(outcome = "value", time = "time", id = "series") train_task <- sl3_Task$new(data = abc_long, nodes = node_list) test_data <- expand.grid(time = 51:55, series = unique(abc_long$series)) test_data <- as.data.table(test_data)[, value := 0] test_task <- sl3_Task$new(data = test_data, nodes = node_list) test_that("Lrnr_gts produces expected forecasts as gts implementation", { # compute forecast via sl3 learner gts_learner <- Lrnr_gts$new() gts_learner_fit <- gts_learner$train(train_task) gts_learner_preds <- gts_learner_fit$predict(test_task) # compute forecast via hts package gts_fit <- hts::gts(ts(as.matrix(abc[, -5]))) train_hmax <- max(abc$time) test_hmax <- max(unique(test_data$time)) gts_fpreds <- forecast(gts_fit, h = test_hmax - train_hmax)$bts gts_preds <- as.data.table(gts_fpreds)[, time := (train_hmax + 1):test_hmax] gts_preds <- melt(gts_preds, id.vars = "time", variable.name = "series") # predictions should be exactly the same expect_equal(gts_learner_preds, gts_preds$value) })