Comments (9)
AdrianAntico
commented on May 13, 2024
@MislavSag You should be good to go now. I was able to get your code running. You'll have to reinstall and restart R to get it going.
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MislavSag
commented on May 13, 2024
Now it returns:
Error in attr(data, "tsp") <- c(start, end, frequency) :
invalid time series parameters specified
Sample:
data <- structure(list(date = structure(c(885394380, 885394440, 885394500,
885394560, 885394620, 885394680, 885394740, 885394800, 885394860,
885394920, 885394980, 885395040, 885395100, 885395220, 885395280,
885395400, 885395520, 885395640, 885395700, 885395760, 885395820,
885398400, 885457980, 885458040, 885458100, 885458160, 885458220,
885458280, 885458340, 885458400, 885458460, 885458520, 885458580,
885458640, 885458700, 885458760, 885458820, 885458880, 885458940,
885459000, 884779620, 884779680, 884779860, 884780040, 884780160,
884780220, 884780280, 884780340, 884780400, 884780460, 884780520,
884780580, 884780640, 884780700, 884780760, 884780820, 884780880,
884781000, 884781060, 884781240, 884781300, 884781360), class = c("POSIXct",
"POSIXt"), tzone = ""), close = c(96.96875, 96.875, 96.9375,
97.03125, 96.9375, 97, 97.15625, 97.0625, 97.15625, 97.0625,
97.1875, 97.09375, 97.125, 97.125, 97, 97.0625, 97.03125, 97,
96.9375, 96.9375, 97, 96.9375, 96.15625, 96.15625, 96.25, 96.15625,
96.15625, 96.1875, 96.25, 96.40625, 96.375, 96.3125, 96.40625,
96.5, 96.625, 96.59375, 96.5625, 96.53125, 96.46875, 96.4375,
95.1875, 95.1875, 95.25, 95.125, 95.15625, 95.0625, 95.125, 95.1875,
95.09375, 95.09375, 95.09375, 95.21875, 95.125, 95.25, 95.25,
95.25, 95.1875, 95.25, 95.25, 95.25, 95.25, 95.28125)), row.names = c(NA,
-62L), class = c("data.table", "data.frame"))
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AdrianAntico
commented on May 13, 2024
@MislavSag Alright... I fixed the issue. Had to wrap a few tryCatch's around a few more of the forecast:: functions. The problem was that if any of those failed it caused the function to fail. Hasn't been an issue till now. Nonetheless, it should be good to go!
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MislavSag
commented on May 13, 2024
I am still geting the same error after installing the package again.
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AdrianAntico
commented on May 13, 2024
@MislavSag I'm not sure how you setup AutoTS to run, but this is working for me.
data <- structure(list(date = structure(c(885394380, 885394440, 885394500,
885394560, 885394620, 885394680, 885394740, 885394800, 885394860,
885394920, 885394980, 885395040, 885395100, 885395220, 885395280,
885395400, 885395520, 885395640, 885395700, 885395760, 885395820,
885398400, 885457980, 885458040, 885458100, 885458160, 885458220,
885458280, 885458340, 885458400, 885458460, 885458520, 885458580,
885458640, 885458700, 885458760, 885458820, 885458880, 885458940,
885459000, 884779620, 884779680, 884779860, 884780040, 884780160,
884780220, 884780280, 884780340, 884780400, 884780460, 884780520,
884780580, 884780640, 884780700, 884780760, 884780820, 884780880,
884781000, 884781060, 884781240, 884781300, 884781360), class = c("POSIXct",
"POSIXt"), tzone = ""), close = c(96.96875, 96.875, 96.9375,
97.03125, 96.9375, 97, 97.15625, 97.0625, 97.15625, 97.0625,
97.1875, 97.09375, 97.125, 97.125, 97, 97.0625, 97.03125, 97,
96.9375, 96.9375, 97, 96.9375, 96.15625, 96.15625, 96.25, 96.15625,
96.15625, 96.1875, 96.25, 96.40625, 96.375, 96.3125, 96.40625,
96.5, 96.625, 96.59375, 96.5625, 96.53125, 96.46875, 96.4375,
95.1875, 95.1875, 95.25, 95.125, 95.15625, 95.0625, 95.125, 95.1875,
95.09375, 95.09375, 95.09375, 95.21875, 95.125, 95.25, 95.25,
95.25, 95.1875, 95.25, 95.25, 95.25, 95.25, 95.28125)), row.names = c(NA,
-62L), class = c("data.table", "data.frame"))
RemixAutoML::AutoTS(
data,
TargetName = "close",
DateName = "date",
FCPeriods = 5,
HoldOutPeriods = 5,
EvaluationMetric = "MAPE",
InnerEval = "AICc",
TimeUnit = "day",
Lags = 2,
SLags = 1,
MaxFourierPairs = 0,
NumCores = 4,
SkipModels = NULL, #c("NNET","TBATS","ETS","TSLM","ARFIMA","DSHW"),
StepWise = TRUE,
TSClean = FALSE,
ModelFreq = TRUE,
PlotPredictionIntervals = TRUE,
PrintUpdates = FALSE)
$Forecast
Date Forecast_ETS ETS_Low80 ETS_Low95 ETS_High80 ETS_High95
1: 1998-01-23 01:50:00 96.43896 96.11721 95.94688 96.76071 96.93104
2: 1998-01-24 01:50:00 96.43896 95.99359 95.75783 96.88433 97.12009
3: 1998-01-25 01:50:00 96.43896 95.89750 95.61086 96.98042 97.26705
4: 1998-01-26 01:50:00 96.43896 95.81605 95.48631 97.06186 97.39161
5: 1998-01-27 01:50:00 96.43896 95.74409 95.37625 97.13382 97.50166
$EvaluationMetrics
ModelName MeanResid MeanPercError MAPE MAE MSE ID
1: ETS -0.10 -0.01127 0.01127 0.1006 0.0135 1
2: ETS_ModelFreq -0.10 -0.01127 0.01127 0.1006 0.0135 2
3: TBATS -0.10 -0.01127 0.01127 0.1006 0.0135 3
4: TBATS_ModelFreq -0.10 -0.01127 0.01127 0.1006 0.0135 4
5: ARIMA -0.11 -0.01133 0.01133 0.1062 0.0146 5
6: ARIMA_ModelFreq -0.11 -0.01133 0.01133 0.1062 0.0146 6
$TimeSeriesModel
ETS(A,N,N)
Call:
forecast::ets(y = dataTSTrain, model = "ZZN", lambda = TRUE,
Call:
biasadj = TRUE, restrict = TRUE, allow.multiplicative.trend = TRUE)
Box-Cox transformation: lambda= 1
Smoothing parameters:
alpha = 0.9571
Initial states:
l = 94.1875
sigma: 0.2511
AIC AICc BIC
88.47561 88.88940 94.85701
$ChampionModel
[1] "ETS"
$TimeSeriesPlot
Warning messages:
1: Removed 5 rows containing missing values (geom_path).
2: Removed 62 rows containing missing values (geom_path).
3: Removed 62 rows containing missing values (geom_path).
4: Removed 62 rows containing missing values (geom_path).
5: Removed 62 rows containing missing values (geom_path).
6: Removed 62 rows containing missing values (geom_path).
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MislavSag
commented on May 13, 2024
@AdrianAntico , doesn't work with this data:
data <- structure(list(date = structure(c(884779620, 884779680, 884779860,
884780040, 884780160, 884780220, 884780280, 884780340, 884780400,
884780460, 884780520, 884780580, 884780640, 884780700, 884780760,
884780820, 884780880, 884781000, 884781060, 884781240, 884781300,
884781360, 884781420, 884781480, 884781600, 884781660, 884781720,
884781840, 884781900, 884781960, 885394380, 885394440, 885394500,
885394560, 885394620, 885394680, 885394740, 885394800, 885394860,
885394920, 885394980, 885395040, 885395100, 885395220, 885395280,
885395400, 885395520, 885395640, 885395700, 885395760, 885395820,
885398400, 885457980, 885458040, 885458100, 885458160, 885458220,
885458280, 885458340, 885458400, 885458460, 885458520, 885458580,
885458640, 885458700, 885458760, 885458820, 885458880, 885458940,
885459000), class = c("POSIXct", "POSIXt"), tzone = ""), close = c(95.1875,
95.1875, 95.25, 95.125, 95.15625, 95.0625, 95.125, 95.1875, 95.09375,
95.09375, 95.09375, 95.21875, 95.125, 95.25, 95.25, 95.25, 95.1875,
95.25, 95.25, 95.25, 95.25, 95.28125, 95.3125, 95.3125, 95.3125,
95.3125, 95.3125, 95.3125, 95.25, 95.28125, 96.96875, 96.875,
96.9375, 97.03125, 96.9375, 97, 97.15625, 97.0625, 97.15625,
97.0625, 97.1875, 97.09375, 97.125, 97.125, 97, 97.0625, 97.03125,
97, 96.9375, 96.9375, 97, 96.9375, 96.15625, 96.15625, 96.25,
96.15625, 96.15625, 96.1875, 96.25, 96.40625, 96.375, 96.3125,
96.40625, 96.5, 96.625, 96.59375, 96.5625, 96.53125, 96.46875,
96.4375)), row.names = c(NA, -70L), class = c("data.table", "data.frame"
))
It is an irregular 1 minute data, maybe that's the problem?
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AdrianAntico
commented on May 13, 2024
@MislavSag I made another change and it should run for the data above that you posted.
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MislavSag
commented on May 13, 2024
@AdrianAntico , now I get the following error (message):
"Cannot convert your data to a time series object with that TimeUnit"
I can't send you data because it has around 4200 rows. Maybe I can send you via email?
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AdrianAntico
commented on May 13, 2024
I would start with sharing the setup of the function... First I need to see if the TimeUnit you supplied is correct and if it is, then I'd need to see if there is anything wrong with the data. If nothing is wrong with the data, then it has to be something about converting the data to a time series object... Feel free to email me though: [email protected]
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