Diagnoser
The Diagnoser trait provides methods to determine basic Quality of Fit QoF measures.
Value parameters
- df
-
the degrees of freedom for error
- dfm
-
the degrees of freedom for model/regression (0 or more)
- y_
-
the response vector (time series)
Attributes
- Graph
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- Supertypes
- Known subtypes
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class AR_Starclass RandomWalk_Starclass VARclass Forecasterclass ARclass ARMAclass ARIMAclass Forecaster_Dclass NeuralNet_3L4TSclass ARX_Dclass ARX_Quad_Dclass ARX_Symb_Dclass ARY_Dclass Forecaster_Regclass ARXclass ARX_Quadclass ARX_Symbclass ARYclass ARY_Quadclass SARYclass NullModelclass RandomWalkclass RandomWalkSclass SimpleExpSmoothingclass SimpleMovingAverageclass TranARYclass TrendModelclass WeightedMovingAverageShow all
Members list
Value members
Concrete methods
Diagnose the health of the model by computing the Quality of Fit (QoF) measures, from the error/residual vector and the predicted & actual responses. For some models the instances may be weighted. For time series, the first few predictions use only part of the model, so may be skipped.
Diagnose the health of the model by computing the Quality of Fit (QoF) measures, from the error/residual vector and the predicted & actual responses. For some models the instances may be weighted. For time series, the first few predictions use only part of the model, so may be skipped.
Value parameters
- w
-
the weights on the instances (defaults to null)
- y
-
the actual response/output vector to use (test/full)
- yp
-
the predicted response/output vector (test/full)
Attributes
- Definition Classes
Models need to provide a means for updating the Degrees of Freedom (DF). Note: Degrees of Freedom are mainly relevant for full and train, not test.
Models need to provide a means for updating the Degrees of Freedom (DF). Note: Degrees of Freedom are mainly relevant for full and train, not test.
Value parameters
- size
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the size of dataset (full, train, or test sets)
Attributes
Set the number of data points/elements to skip at the beginning of a time series for purposes of diagnosis or computing a loss function. For In-Sample, the first value (time t = 0) is not forecastable without backcasting.
Set the number of data points/elements to skip at the beginning of a time series for purposes of diagnosis or computing a loss function. For In-Sample, the first value (time t = 0) is not forecastable without backcasting.
Value parameters
- skip
-
skip this many elements at the beginning of the time series
Attributes
Compute the sum of squares errors (loss function), assuming the first 'skip' errors are zero.
Compute the sum of squares errors (loss function), assuming the first 'skip' errors are zero.
Value parameters
- y
-
the actual response vector
- yp
-
the predicted response vector (one-step ahead)
Attributes
Inherited methods
Diagnose the health of the model by computing the Quality of Fit (QoF) metrics/measures, from the error/residual vector and the predicted & actual responses. For some models the instances may be weighted. Include interval measures. Note: wis should be computed separately.
Diagnose the health of the model by computing the Quality of Fit (QoF) metrics/measures, from the error/residual vector and the predicted & actual responses. For some models the instances may be weighted. Include interval measures. Note: wis should be computed separately.
Value parameters
- alpha
-
the nominal level of uncertainty (alpha) (defaults to 0.9, 90%)
- low
-
the predicted lower bound
- up
-
the predicted upper bound
- w
-
the weights on the instances (defaults to null)
- y
-
the actual response/output vector to use (test/full)
- yp
-
the point prediction mean/median
Attributes
- See also
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Regression_WLS - Inherited from:
- Fit
Diagnose the health of the model by computing the Quality of Fit (QoF) measures,
Diagnose the health of the model by computing the Quality of Fit (QoF) measures,
Value parameters
- alphas
-
the array of prediction levels
- low
-
the lower bounds for various alpha levels
- up
-
the upper bounds for various alpha levels
- y
-
the given time-series (must be aligned with the interval forecast)
- yp
-
the point prediction mean/median
Attributes
- Inherited from:
- Fit
Return the Quality of Fit (QoF) measures corresponding to the labels given. Note, if sse > sst, the model introduces errors and the rSq may be negative, otherwise, R^2 (rSq) ranges from 0 (weak) to 1 (strong). Override to add more quality of fit measures.
Return the Quality of Fit (QoF) measures corresponding to the labels given. Note, if sse > sst, the model introduces errors and the rSq may be negative, otherwise, R^2 (rSq) ranges from 0 (weak) to 1 (strong). Override to add more quality of fit measures.
Attributes
- Definition Classes
- Inherited from:
- Fit
Return the the y-transformation.
Return the help string that describes the Quality of Fit (QoF) measures provided by the Fit trait. Override to correspond to fitLabel.
The log-likelihood function times -2. Override as needed.
The log-likelihood function times -2. Override as needed.
Value parameters
- ms
-
raw Mean Squared Error
- s2
-
MLE estimate of the population variance of the residuals
Attributes
- See also
- Inherited from:
- Fit
Return the mean of the squares for error (sse / df). Must call diagnose first.
Return the mean of the squares for error (sse / df). Must call diagnose first.
Attributes
- Inherited from:
- Fit
Return the coefficient of determination (R^2). Must call diagnose first.
Return the coefficient of determination (R^2). Must call diagnose first.
Attributes
- Inherited from:
- FitM
Reset the degrees of freedom to the new updated values. For some models, the degrees of freedom is not known until after the model is built.
Reset the degrees of freedom to the new updated values. For some models, the degrees of freedom is not known until after the model is built.
Value parameters
- df_update
-
the updated degrees of freedom (model, error)
Attributes
- Inherited from:
- Fit
Show the prediction interval forecasts and relevant QoF metrics/measures.
Show the prediction interval forecasts and relevant QoF metrics/measures.
Value parameters
- h
-
the forecasting horizon
- low
-
the predicted lower bound
- qof_all
-
all the QoF metrics (for point and interval forecasts)
- up
-
the predicted upper bound
- yfh
-
the forecasts for horizon h
- yy
-
the aligned actual response/output vector to use (test/full)
Attributes
- Inherited from:
- Fit
Return the symmetric Mean Absolute Percentage Error (sMAPE) score. Caveat: y_i = yp_i = 0 => no error => no percentage error
Return the symmetric Mean Absolute Percentage Error (sMAPE) score. Caveat: y_i = yp_i = 0 => no error => no percentage error
Value parameters
- e_
-
the error/residual vector (if null, recompute)
- y
-
the given time-series (must be aligned with the forecast)
- yp
-
the forecasted time-series
Attributes
- Inherited from:
- FitM
Return the sum of the squares for error (sse). Must call diagnose first.
Return the sum of the squares for error (sse). Must call diagnose first.
Attributes
- Inherited from:
- FitM
Produce a QoF summary for a model with diagnostics for each predictor x_j and the overall Quality of Fit (QoF). Note: `Fac_Cholesky is used to compute the inverse of xtx.
Produce a QoF summary for a model with diagnostics for each predictor x_j and the overall Quality of Fit (QoF). Note: `Fac_Cholesky is used to compute the inverse of xtx.
Value parameters
- b
-
the parameters/coefficients for the model
- fname
-
the array of feature/variable names
- vifs
-
the Variance Inflation Factors (VIFs)
- x_
-
the testing/full data/input matrix
Attributes
- Definition Classes
- Inherited from:
- Fit