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andre_ramos
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fix evaluation model
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paper_tests/m4_test/evaluate_model.jl

Lines changed: 7 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -8,7 +8,13 @@ function evaluate_SSL(initialization_df::DataFrame, results_df::DataFrame, input
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T= length(normalized_y)
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normalized_y = normalized_y[max(1, T-sample_size+1):end]
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output = StateSpaceLearning.fit_model(normalized_y; estimation_input=Dict("α" => α, "information_criteria" => information_criteria, "ϵ" => 0.05, "penalize_exogenous" => true, "penalize_initial_states" => true),outlier=outlier,ζ_ω_threshold=12)
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output = StateSpaceLearning.fit_model(normalized_y;
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model_input = Dict("stochastic_level" => true, "trend" => true,
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"stochastic_trend" => true,
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"seasonal" => true, "stochastic_seasonal" => true, "freq_seasonal" => 12,
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"outlier" => outlier, "ζ_ω_threshold" => 12),
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estimation_input=Dict("α" => α, "information_criteria" => information_criteria, "ϵ" => 0.05,
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"penalize_exogenous" => true, "penalize_initial_states" => true))
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normalized_prediction = StateSpaceLearning.forecast(output, H)
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prediction = de_normalize(normalized_prediction, max_y, min_y)
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