rolling_origin {tsfgrnn} | R Documentation |
It uses the model and the time series associated with a grnnForecast
object to assess the forecasting accuracy of the model using the last
h
values of the time series to build test sets applying a rolling
origin evaluation.
rolling_origin(grnnf, h = NULL, rolling = TRUE)
grnnf |
A |
h |
A positive integer. The forecast horizon. If |
rolling |
A logical. If |
This function assesses the forecast accuracy of the model used by the
grnnForecast
object. It uses h
different test and training
sets. The first test set consists of the last h
values of the time
series (the training set is formed by the previous values). The next test set
consists of the last h - 1 values of the time series and so on (the
last test set is formed by the last value of the time series).
A list containing at least the following fields:
|
a matrix containing the test sets used in the evaluation. Every row contains a different test set. |
|
The predictions for the test sets. |
|
The errors for the test sets. |
|
Different measures of accuracy applied to all the errors. |
|
Different measures of accuracy applied to all the errors for every forecasting horizon. |
pred <- grnn_forecasting(UKgas, h = 4, lags = 1:4, scale = FALSE) ro <- rolling_origin(pred) print(ro$global_accu)