abstract class ForecasterVec extends Forecaster
The Forecaster trait provides a common framework for several forecasters.
Note, the 'train' method must be called first followed by 'eval'.
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new
ForecasterVec(t: VectoD, y: VectoD, orders: Int*)
- t
the time vector
- y
the input vector (time series data)
- orders
the orders for the model (e.g., ARIMA (,d,))
Abstract Value Members
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abstract
def
forecast(h: Int): VectoD
Produce forecasts for 'h' steps ahead into the future
Produce forecasts for 'h' steps ahead into the future
- h
the forecasting horizon, number of steps ahead to produce forecasts
- Definition Classes
- Forecaster
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abstract
def
parameters: VectoD
Return the parameter vector.
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abstract
def
predict(): VectoD
Return the vector of predicted values on the training data
Return the vector of predicted values on the training data
- Definition Classes
- Forecaster
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abstract
def
train(): ForecasterVec
Given a time series 'y', train the prediction function 'y = f(y_)', where 'f(y_)' is a function of the lagged values of 'y', by fitting its parameters.
Given a time series 'y', train the prediction function 'y = f(y_)', where 'f(y_)' is a function of the lagged values of 'y', by fitting its parameters.
- Definition Classes
- ForecasterVec → Forecaster
Concrete Value Members
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final
def
!=(arg0: Any): Boolean
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final
def
##(): Int
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final
def
==(arg0: Any): Boolean
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final
def
asInstanceOf[T0]: T0
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def
clone(): AnyRef
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def
diagnose(yy: VectoD, ee: VectoD): Unit
Compute diagnostics for the forecaster.
Compute diagnostics for the forecaster. Override to add more diagnostics. Note, for 'mse' and 'rmse', 'sse' is divided by the number of instances 'm' rather than the degrees of freedom.
- yy
the response vector, actual values
- ee
the residual/error vector
- Attributes
- protected
- Definition Classes
- Forecaster
- See also
en.wikipedia.org/wiki/Mean_squared_error
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var
e: VectorD
- Attributes
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final
def
eq(arg0: AnyRef): Boolean
- Definition Classes
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def
equals(arg0: Any): Boolean
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def
eval(): Unit
Compute the error and useful diagnostics for the entire dataset.
Compute the error and useful diagnostics for the entire dataset.
- Definition Classes
- ForecasterVec → Forecaster
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def
f_(z: Double): String
Format a double value.
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def
finalize(): Unit
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def
fit: VectoD
Return the quality of fit including 'sst', 'sse', 'mae', rmse' and 'rSq'.
Return the quality of fit including 'sst', 'sse', 'mae', rmse' and 'rSq'. 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). Note that 'rSq' is the last or number 5 measure. Override to add more quality of fit measures.
- Definition Classes
- Forecaster
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def
fitLabel: Seq[String]
Return the labels for the fit.
Return the labels for the fit. Override when necessary.
- Definition Classes
- Forecaster
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def
fitMap: Map[String, String]
Build a map of quality of fit measures (use of
LinedHashMapmakes it ordered).Build a map of quality of fit measures (use of
LinedHashMapmakes it ordered). Override to add more quality of fit measures.- Definition Classes
- Forecaster
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final
def
flaw(method: String, message: String): Unit
- Definition Classes
- Error
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def
forecast(): VectoD
Produce forecasts for one step ahead into the future
Produce forecasts for one step ahead into the future
- Definition Classes
- Forecaster
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final
def
getClass(): Class[_]
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def
hashCode(): Int
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val
index_rSq: Int
- Definition Classes
- Forecaster
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final
def
isInstanceOf[T0]: Boolean
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val
mae: Double
- Attributes
- protected
- Definition Classes
- Forecaster
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val
mape: Double
- Attributes
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- Forecaster
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val
ml: Int
- Attributes
- protected
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val
mse: Double
- Attributes
- protected
- Definition Classes
- Forecaster
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val
mu: Double
- Attributes
- protected
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val
n: Int
- Attributes
- protected
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final
def
ne(arg0: AnyRef): Boolean
- Definition Classes
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final
def
notify(): Unit
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final
def
notifyAll(): Unit
- Definition Classes
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def
plotFunc(fVec: VectoD, name: String): Unit
Plot a function, e.g., Auto-Correlation Function 'ACF', Partial Auto-Correlation Function 'PACF'.
Plot a function, e.g., Auto-Correlation Function 'ACF', Partial Auto-Correlation Function 'PACF'.
- fVec
the vector given function values
- name
the name of the function
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val
rSq: Double
- Attributes
- protected
- Definition Classes
- Forecaster
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val
rmse: Double
- Attributes
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- Definition Classes
- Forecaster
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val
sse: Double
- Attributes
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- Definition Classes
- Forecaster
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val
ssr: Double
- Attributes
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- Definition Classes
- Forecaster
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val
sst: Double
- Attributes
- protected
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- Forecaster
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final
def
synchronized[T0](arg0: ⇒ T0): T0
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def
toString(): String
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final
def
wait(): Unit
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def
wait(arg0: Long, arg1: Int): Unit
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final
def
wait(arg0: Long): Unit
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