tidyverts / tidyverts/fabletools

VARIMA, logs of variables and measures of forecast accuracy for the training dat

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Description

Using a data set from the book, I run the following VARIMA model.

 library(fpp3)
 google_stock <- gafa_stock |>  filter(Symbol == "GOOG", year(Date) >= 2015) |>  mutate(day = row_number()) |>
  update_tsibble(index = day, regular = TRUE)

google_2015 <- google_stock |> filter(year(Date) == 2015)
fit<- google_2015 |>  model(VARIMA(vars(log(Open), log(High)) ))  

I get this warning when I am trying to get the measures of forecast accuracy for the training data set (google_2015).

fit %>% forecast:: accuracy()
Error in `mutate()`:
ℹ In argument: `fit = map(fit, accuracy, measures = measures, ...)`.
Caused by error in `gather()`:
! Can't select columns that don't exist.
✖ Column `Open` doesn't exist.
Run `rlang::last_trace()` to see where the error occurred.

Without the transformation of the variables I can easily get these measures for the training data set

fit2<- google_2015 |>  model(VARIMA(vars(Open, High) ))  
fit2 %>% forecast:: accuracy()

# A tibble: 2 × 12
  Symbol .model   .response .type       ME  RMSE   MAE     MPE  MAPE  MASE RMSSE
  <chr>  <chr>    <fct>     <chr>    <dbl> <dbl> <dbl>   <dbl> <dbl> <dbl> <dbl>
1 GOOG   VARIMA(… Open      Trai…  0.00876  9.48  4.94 -0.0176 0.805 0.698 0.788
2 GOOG   VARIMA(… High      Trai… -0.00235 10.4   6.09 -0.0271 0.994 0.988 0.962

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First steps

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  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 reproducible VARIMA example from the issue with log(Open) and log(High), then compare it with the untransformed model using forecast::accuracy(). The issue is complete when training-set accuracy measures work for the transformed variables without the missing Open column error.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
analytics, data
Issue type
Bug
Difficulty
3/5
Estimated time
1-2 days
Activity status
Quiet
Clarity
Mostly clear
Newbie friendliness
52/100

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