Time Series Linear Model Forecast Learner

Time series linear model. Calls forecast::tslm() from package forecast.

Dictionary

This mlr3::Learner can be instantiated via the dictionary mlr3::mlr_learners or with the associated sugar function mlr3::lrn():

mlr_learners$get("fcst.tslm")
lrn("fcst.tslm")

Meta Information

• Task type: “fcst”

• Predict Types: “response”, “quantiles”

• Feature Types: “logical”, “integer”, “numeric”

• Required Packages: mlr3, mlr3forecast, forecast

Parameters

Id	Type	Default	Levels
formula	untyped	-
lambda	untyped	NULL
biasadj	logical	FALSE	TRUE, FALSE

References

Hyndman, R.J., Athanasopoulos, G. (2018). Forecasting: principles and practice, 2nd edition. OTexts, Melbourne, Australia. https://OTexts.com/fpp2/.

See also

• Chapter in the mlr3book: https://mlr3book.mlr-org.com/chapters/chapter2/data_and_basic_modeling.html#sec-learners

• Package mlr3learners for a solid collection of essential learners.

• Package mlr3extralearners for more learners.

• Dictionary of Learners: mlr3::mlr_learners

• as.data.table(mlr_learners) for a table of available Learners in the running session (depending on the loaded packages).

• mlr3pipelines to combine learners with pre- and postprocessing steps.

• Package mlr3viz for some generic visualizations.

• Extension packages for additional task types:

  • mlr3proba for probabilistic supervised regression and survival analysis.

  • mlr3cluster for unsupervised clustering.

• mlr3tuning for tuning of hyperparameters, mlr3tuningspaces for established default tuning spaces.

Other Learner: LearnerFcst, mlr_learners_fcst.adam, mlr_learners_fcst.arfima, mlr_learners_fcst.arima, mlr_learners_fcst.auto_adam, mlr_learners_fcst.auto_arima, mlr_learners_fcst.auto_ces, mlr_learners_fcst.bats, mlr_learners_fcst.ces, mlr_learners_fcst.croston, mlr_learners_fcst.ets, mlr_learners_fcst.nnetar, mlr_learners_fcst.random_walk, mlr_learners_fcst.spline, mlr_learners_fcst.tbats, mlr_learners_fcst.theta

Super classes

mlr3::Learner -> mlr3::LearnerRegr -> mlr3forecast::LearnerFcst -> mlr3forecast::LearnerFcstForecast -> LearnerFcstTslm

Methods

Public methods

• LearnerFcstTslm$new()

• LearnerFcstTslm$clone()

Inherited methods

• mlr3::Learner$base_learner()
• mlr3::Learner$configure()
• mlr3::Learner$encapsulate()
• mlr3::Learner$format()
• mlr3::Learner$help()
• mlr3::Learner$predict()
• mlr3::Learner$predict_newdata()
• mlr3::Learner$print()
• mlr3::Learner$reset()
• mlr3::Learner$selected_features()
• mlr3::Learner$train()
• mlr3::LearnerRegr$predict_newdata_fast()

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Method new()

Creates a new instance of this R6 class.

Usage

LearnerFcstTslm$new()

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Method clone()

The objects of this class are cloneable with this method.

Usage

LearnerFcstTslm$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

# Define the Learner and set parameter values
learner = lrn("fcst.tslm")
print(learner)
#> 
#> ── <LearnerFcstTslm> (fcst.tslm): Time Series Linear Model ─────────────────────
#> • Model: -
#> • Parameters: list()
#> • Packages: mlr3, mlr3forecast, and forecast
#> • Predict Types: [response] and quantiles
#> • Feature Types: logical, integer, and numeric
#> • Encapsulation: none (fallback: -)
#> • Properties: exogenous, featureless, and missings
#> • Other settings: use_weights = 'error'

# Define a Task
task = tsk("airpassengers")

# Create train and test set
ids = partition(task)

# Train the learner on the training ids
learner$train(task, row_ids = ids$train)

# Print the model
print(learner$model)
#> 
#> Call:
#> forecast::tslm(formula = y ~ trend + season)
#> 
#> Coefficients:
#> (Intercept)        trend      season2      season3      season4      season5  
#>      82.652        2.348       -2.473       24.054       15.830       13.482  
#>     season6      season7      season8      season9     season10     season11  
#>      39.134       63.536       59.437       28.839       -1.634      -28.732  
#>    season12  
#>      -5.455  
#> 

# Importance method
if ("importance" %in% learner$properties) print(learner$importance())

# Make predictions for the test rows
predictions = learner$predict(task, row_ids = ids$test)

# Score the predictions
predictions$score()
#> regr.mse 
#> 2710.246