tidyverts / tidyverts/fabletools

Automatically drop rank deficient regressors with warning

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R
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Description

Based on https://stackoverflow.com/q/78388045/144157

library(fable)
library(tsibble)
library(dplyr)

set.seed(123)

# create data
aa <- tibble(idx = 1:12, group = "aa", y = rnorm(12))
bb <- tibble(idx = 7:12, group = "bb", y = rnorm(6))
cc <- tibble(idx = 1:6, group = "cc", y = rnorm(6))
xreg <- tibble(idx = 1:12, x1 = c(0, 0, 1, rep(0, 9)), x2 = c(rep(0, 9), 1, 0, 0))
dat <- bind_rows(aa, bb, cc) |>
  inner_join(xreg, by = "idx") |>
  as_tsibble(index = idx, key = group)

dat |>
  model(arima = ARIMA(y ~ 1 + x1))
#> Warning: Provided exogenous regressors are rank deficient, removing regressors:
#> `x1`
#> Warning: 1 error encountered for arima
#> [1] subscript out of bounds
#> # A mable: 3 x 2
#> # Key:     group [3]
#>   group                       arima
#>   <chr>                     <model>
#> 1 aa    <LM w/ ARIMA(0,0,0) errors>
#> 2 bb                   <NULL model>
#> 3 cc    <LM w/ ARIMA(0,0,0) errors>

Created on 2024-05-12 with reprex v2.1.0

Session info 
sessioninfo::session_info()
#> ─ Session info ───────────────────────────────────────────────────────────────
#>  setting  value
#>  version  R version 4.4.0 (2024-04-24)
#>  os       KDE neon 6.0
#>  system   x86_64, linux-gnu
#>  ui       X11
#>  language (EN)
#>  collate  en_AU.UTF-8
#>  ctype    en_AU.UTF-8
#>  tz       Australia/Melbourne
#>  date     2024-05-12
#>  pandoc   3.1.11.1 @ /usr/bin/ (via rmarkdown)
#> 
#> ─ Packages ───────────────────────────────────────────────────────────────────
#>  package        * version    date (UTC) lib source
#>  anytime          0.3.9      2020-08-27 [1] RSPM
#>  cli              3.6.2      2023-12-11 [1] RSPM
#>  colorspace       2.1-0      2023-01-23 [1] RSPM
#>  digest           0.6.35     2024-03-11 [1] RSPM
#>  distributional   0.4.0      2024-02-07 [1] RSPM (R 4.3.0)
#>  dplyr          * 1.1.4      2023-11-17 [1] RSPM
#>  ellipsis         0.3.2      2021-04-29 [1] RSPM
#>  evaluate         0.23       2023-11-01 [1] RSPM
#>  fable          * 0.3.4.9000 2024-04-28 [1] Github (tidyverts/fable@39665f2)
#>  fabletools     * 0.4.2      2024-04-22 [1] RSPM (R 4.4.0)
#>  fansi            1.0.6      2023-12-08 [1] RSPM
#>  fastmap          1.1.1      2023-02-24 [1] RSPM
#>  feasts           0.3.2.9000 2024-04-28 [1] Github (tidyverts/feasts@6e9266e)
#>  fs               1.6.4      2024-04-25 [1] RSPM (R 4.4.0)
#>  generics         0.1.3      2022-07-05 [1] RSPM
#>  ggplot2          3.5.1      2024-04-23 [1] RSPM (R 4.3.3)
#>  glue             1.7.0      2024-01-09 [1] RSPM
#>  gtable           0.3.5      2024-04-22 [1] RSPM (R 4.3.3)
#>  htmltools        0.5.8.1    2024-04-04 [1] RSPM (R 4.3.3)
#>  knitr            1.46       2024-04-06 [1] RSPM
#>  lattice          0.22-6     2024-03-20 [1] RSPM
#>  lifecycle        1.0.4      2023-11-07 [1] RSPM
#>  lubridate        1.9.3      2023-09-27 [1] RSPM
#>  magrittr         2.0.3      2022-03-30 [1] RSPM
#>  munsell          0.5.1      2024-04-01 [1] RSPM
#>  nlme             3.1-164    2023-11-27 [1] RSPM
#>  pillar           1.9.0      2023-03-22 [1] RSPM
#>  pkgconfig        2.0.3      2019-09-22 [1] RSPM
#>  progressr        0.14.0     2023-08-10 [1] RSPM
#>  purrr            1.0.2      2023-08-10 [1] RSPM
#>  R.cache          0.16.0     2022-07-21 [1] RSPM (R 4.3.3)
#>  R.methodsS3      1.8.2      2022-06-13 [1] RSPM (R 4.3.3)
#>  R.oo             1.26.0     2024-01-24 [1] RSPM (R 4.3.3)
#>  R.utils          2.12.3     2023-11-18 [1] RSPM (R 4.3.3)
#>  R6               2.5.1      2021-08-19 [1] RSPM
#>  Rcpp             1.0.12     2024-01-09 [1] RSPM
#>  reprex           2.1.0      2024-01-11 [1] RSPM
#>  rlang            1.1.3      2024-01-10 [1] RSPM
#>  rmarkdown        2.26.2     2024-05-01 [1] Github (rstudio/rmarkdown@3d99b8e)
#>  rstudioapi       0.16.0     2024-03-24 [1] RSPM
#>  scales           1.3.0      2023-11-28 [1] RSPM
#>  sessioninfo      1.2.2      2021-12-06 [1] RSPM
#>  styler           1.10.3     2024-04-07 [1] RSPM (R 4.3.3)
#>  tibble           3.2.1      2023-03-20 [1] RSPM
#>  tidyr            1.3.1      2024-01-24 [1] RSPM
#>  tidyselect       1.2.1      2024-03-11 [1] RSPM
#>  timechange       0.3.0      2024-01-18 [1] RSPM
#>  tsibble        * 1.1.4      2024-04-28 [1] Github (tidyverts/tsibble@9e0057e)
#>  urca             1.3-3      2022-08-29 [1] RSPM
#>  utf8             1.2.4      2023-10-22 [1] RSPM
#>  vctrs            0.6.5      2023-12-01 [1] RSPM
#>  withr            3.0.0      2024-01-16 [1] RSPM
#>  xfun             0.43       2024-03-25 [1] RSPM (R 4.3.3)
#>  yaml             2.3.8      2023-12-11 [1] RSPM
#> 
#>  [1] /usr/local/lib/R/site-library
#>  [2] /usr/lib/R/site-library
#>  [3] /usr/lib/R/library
#> 
#> ──────────────────────────────────────────────────────────────────────────────

Contributor guide

No contributing guide indexed for this repository

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by running the supplied R reprex with the grouped ARIMA(y ~ 1 + x1) model and compare the warnings and per-group results. Trace the rank-deficient regressor handling around the ARIMA entry point; done means the affected regressor is dropped with a warning without the subscript-out-of-bounds error, and the groups return valid results.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
data
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
35/100

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