Create Rolling Window Features of Target Variable

Creates rolling-window summary statistics of the target variable as new feature columns. The window ends at position t - lag (exclusive of the current and lag - 1 most recent values) and has size window_size.

Parameters

The parameters are the parameters inherited from mlr3pipelines::PipeOpTaskPreproc, as well as the following parameters:

• funs :: character()
  Aggregation functions. Subset of c("mean", "median", "sd", "min", "max", "sum"). Default "mean".

• window_sizes :: integer()
  Window sizes. Every combination of funs and window_sizes produces one output column. Default 3L.

• lag :: integer(1)
  Minimum lag before the window starts. Must be >= 1 to avoid leakage. Default 1L.

Super classes

mlr3pipelines::PipeOp -> mlr3pipelines::PipeOpTaskPreproc -> PipeOpFcstRolling

Methods

Public methods

• PipeOpFcstRolling$new()

• PipeOpFcstRolling$clone()

Inherited methods

• mlr3pipelines::PipeOp$help()
• mlr3pipelines::PipeOp$predict()
• mlr3pipelines::PipeOp$print()
• mlr3pipelines::PipeOp$train()

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Method new()

Initializes a new instance of this Class.

Usage

PipeOpFcstRolling$new(id = "fcst.rolling", param_vals = list())

Arguments

id

(character(1))
Identifier of resulting object, default "fcst.rolling".

param_vals

(named list())
List of hyperparameter settings, overwriting the hyperparameter settings that would otherwise be set during construction. Default list().

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Method clone()

The objects of this class are cloneable with this method.

Usage

PipeOpFcstRolling$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

library(mlr3pipelines)
task = tsk("airpassengers")
po = po("fcst.rolling", funs = c("mean", "sd"), window_sizes = c(3L, 12L))
new_task = po$train(list(task))[[1L]]
new_task$head()
#>    passengers passengers_roll_mean_3 passengers_roll_mean_12
#>         <num>                  <num>                   <num>
#> 1:        112                     NA                      NA
#> 2:        118                     NA                      NA
#> 3:        132                     NA                      NA
#> 4:        129               120.6667                      NA
#> 5:        121               126.3333                      NA
#> 6:        135               127.3333                      NA
#>    passengers_roll_sd_3 passengers_roll_sd_12
#>                   <num>                 <num>
#> 1:                   NA                    NA
#> 2:                   NA                    NA
#> 3:                   NA                    NA
#> 4:            10.263203                    NA
#> 5:             7.371115                    NA
#> 6:             5.686241                    NA