Export simulate

Project.toml

@@ -1,7 +1,7 @@
 name = "StateSpaceLearning"
 uuid = "971c4b7c-2c4e-4bac-8525-e842df3cde7b"
 authors = ["andreramosfc <[email protected]>"]
-version = "0.2.0"
+version = "0.2.1"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

src/StateSpaceLearning.jl

@@ -11,7 +11,7 @@ include("datasets.jl")
 
 const DEFAULT_COMPONENTS_PARAMETERS = ["level", "stochastic_level", "trend", "stochastic_trend", "seasonal", "stochastic_seasonal", "freq_seasonal"]
 
-export fit_model, forecast
+export fit_model, forecast, simulate
 
 """
 fit_model(y::Vector{Fl};
@@ -82,20 +82,20 @@ function fit_model(y::Vector{Fl};
 end
 
 """
-    forecast(output::Output, steps_ahead::Int64; Exogenous_Forecast::Union{Matrix{Fl}, Missing}=missing)::Vector{Float64} where Fl
+    forecast(output::Output, steps_ahead::Int; Exogenous_Forecast::Union{Matrix{Fl}, Missing}=missing)::Vector{Float64} where Fl
 
     Returns the forecast for a given number of steps ahead using the provided StateSpaceLearning output and exogenous forecast data.
 
     # Arguments
     - `output::Output`: Output object obtained from model fitting.
-    - `steps_ahead::Int64`: Number of steps ahead for forecasting.
+    - `steps_ahead::Int`: Number of steps ahead for forecasting.
     - `Exogenous_Forecast::Matrix{Fl}`: Exogenous variables forecast (default: zeros(steps_ahead, 0))
 
     # Returns
     - `Vector{Float64}`: Vector containing forecasted values.
 
 """
-function forecast(output::Output, steps_ahead::Int64; Exogenous_Forecast::Matrix{Fl}=zeros(steps_ahead, 0))::Vector{Float64} where Fl
+function forecast(output::Output, steps_ahead::Int; Exogenous_Forecast::Matrix{Fl}=zeros(steps_ahead, 0))::Vector{Float64} where Fl
 
     @assert length(output.components["Exogenous_X"]["Indexes"]) == size(Exogenous_Forecast, 2) "If an exogenous matrix was utilized in the estimation procedure, it must be provided its prediction for the forecast procedure. If no exogenous matrix was utilized, Exogenous_Forecast must be missing"
     @assert size(Exogenous_Forecast, 1) == steps_ahead "Exogenous_Forecast must have the same number of rows as steps_ahead"
@@ -107,21 +107,21 @@ function forecast(output::Output, steps_ahead::Int64; Exogenous_Forecast::Matrix
 end
 
 """
-simulate(output::Output, steps_ahead::Int64; N_scenarios::Int64 = 1000, simulate_outliers::Bool = true, Exogenous_Forecast::Matrix{Fl}=zeros(steps_ahead, 0))::Matrix{Float64} where Fl
+simulate(output::Output, steps_ahead::Int; N_scenarios::Int = 1000, simulate_outliers::Bool = true, Exogenous_Forecast::Matrix{Fl}=zeros(steps_ahead, 0))::Matrix{Float64} where Fl
 
     Generate simulations for a given number of steps ahead using the provided StateSpaceLearning output and exogenous forecast data.
 
     # Arguments
     - `output::Output`: Output object obtained from model fitting.
-    - `steps_ahead::Int64`: Number of steps ahead for simulation.
-    - `N_scenarios::Int64`: Number of scenarios to simulate (default: 1000).
+    - `steps_ahead::Int`: Number of steps ahead for simulation.
+    - `N_scenarios::Int`: Number of scenarios to simulate (default: 1000).
     - `simulate_outliers::Bool`: If true, simulate outliers (default: true).
     - `Exogenous_Forecast::Matrix{Fl}`: Exogenous variables forecast (default: zeros(steps_ahead, 0))
 
     # Returns
     - `Matrix{Float64}`: Matrix containing simulated values.
 """
-function simulate(output::Output, steps_ahead::Int64, N_scenarios::Int64; simulate_outliers::Bool = true, 
+function simulate(output::Output, steps_ahead::Int, N_scenarios::Int; simulate_outliers::Bool = true, 
                   innovation_functions::Dict = Dict("stochastic_level" => Dict("create_X" => create_ξ, "component" => "ξ", "args" => (length(output.ε) + steps_ahead + 1, 0)),
                                                 "stochastic_trend" => Dict("create_X" => create_ζ, "component" => "ζ", "args" => (length(output.ε) + steps_ahead + 1, 0, 1)),
                                                 "stochastic_seasonal" => Dict("create_X" => create_ω, "component" => "ω", "args" => (length(output.ε) + steps_ahead + 1, output.model_input["freq_seasonal"], 0, 1))),

src/estimation_procedure/default_estimation_procedure.jl

@@ -25,19 +25,19 @@ function get_dummy_indexes(Exogenous_X::Matrix{Fl}) where{Fl}
 end
 
 """
-    get_outlier_duplicate_columns(Estimation_X::Matrix{Tl}, components_indexes::Dict{String, Vector{Int64}}) where{Tl}
+    get_outlier_duplicate_columns(Estimation_X::Matrix{Tl}, components_indexes::Dict{String, Vector{Int}}) where{Tl}
 
     Identifies and returns the indexes of outlier columns that are duplicates of dummy variables in the exogenous matrix.
 
     # Arguments
     - `Estimation_X::Matrix{Tl}`: Matrix used for estimation.
-    - `components_indexes::Dict{String, Vector{Int64}}`: Dictionary containing indexes for different components.
+    - `components_indexes::Dict{String, Vector{Int}}`: Dictionary containing indexes for different components.
 
     # Returns
     - `Vector{Int}`: Vector containing the indexes of outlier columns that are duplicates of dummy variables in the exogenous matrix.
 
 """
-function get_outlier_duplicate_columns(Estimation_X::Matrix{Tl}, components_indexes::Dict{String, Vector{Int64}}) where{Tl}
+function get_outlier_duplicate_columns(Estimation_X::Matrix{Tl}, components_indexes::Dict{String, Vector{Int}}) where{Tl}
     if !haskey(components_indexes, "o")
         return []
     else
@@ -115,7 +115,7 @@ end
 
 """
     fit_lasso(Estimation_X::Matrix{Tl}, estimation_y::Vector{Fl}, α::Float64, information_criteria::String,
-              penalize_exogenous::Bool, components_indexes::Dict{String, Vector{Int64}}, penalty_factor::Vector{Float64};
+              penalize_exogenous::Bool, components_indexes::Dict{String, Vector{Int}}, penalty_factor::Vector{Float64};
               rm_average::Bool = false)::Tuple{Vector{Float64}, Vector{Float64}} where {Tl, Fl}
 
     Fits a Lasso regression model to the provided data and returns coefficients and residuals based on selected criteria.
@@ -126,15 +126,15 @@ end
     - `α::Float64`: Elastic net control factor between ridge (α=0) and lasso (α=1) (default: 0.1).
     - `information_criteria::String`: Information Criteria method for hyperparameter selection (default: aic).
     - `penalize_exogenous::Bool`: Flag for selecting exogenous variables. When false the penalty factor for these variables will be set to 0.
-    - `components_indexes::Dict{String, Vector{Int64}}`: Dictionary containing indexes for different components.
+    - `components_indexes::Dict{String, Vector{Int}}`: Dictionary containing indexes for different components.
     - `penalty_factor::Vector{Float64}`: Penalty factors for each predictor.
     - `rm_average::Bool`: Flag to consider if the intercept will be calculated is the average of the time series (default: false).
 
     # Returns
     - `Tuple{Vector{Float64}, Vector{Float64}}`: Tuple containing coefficients and residuals of the fitted Lasso model.
 
 """
-function fit_lasso(Estimation_X::Matrix{Tl}, estimation_y::Vector{Fl}, α::Float64, information_criteria::String, penalize_exogenous::Bool, components_indexes::Dict{String, Vector{Int64}}, penalty_factor::Vector{Float64}; rm_average::Bool = false)::Tuple{Vector{Float64}, Vector{Float64}} where {Tl, Fl}
+function fit_lasso(Estimation_X::Matrix{Tl}, estimation_y::Vector{Fl}, α::Float64, information_criteria::String, penalize_exogenous::Bool, components_indexes::Dict{String, Vector{Int}}, penalty_factor::Vector{Float64}; rm_average::Bool = false)::Tuple{Vector{Float64}, Vector{Float64}} where {Tl, Fl}
 
     outlier_duplicate_columns = get_outlier_duplicate_columns(Estimation_X, components_indexes)
     penalty_factor[outlier_duplicate_columns] .= Inf
@@ -168,23 +168,23 @@ end
 """
     fit_adalasso(Estimation_X::Matrix{Tl}, estimation_y::Vector{Fl}, α::Float64,
                  information_criteria::String,
-                 components_indexes::Dict{String, Vector{Int64}},
+                 components_indexes::Dict{String, Vector{Int}},
                  ε::Float64, penalize_exogenous::Bool)::Tuple{Vector{Float64}, Vector{Float64}} where {Tl, Fl}
 
     Fits an Adaptive Lasso (AdaLasso) regression model to the provided data and returns coefficients and residuals.
 
     # Arguments
     - `Estimation_X::Matrix{Tl}`: Matrix of predictors for estimation.
     - `estimation_y::Vector{Fl}`: Vector of response values for estimation.
-    - `components_indexes::Dict{String, Vector{Int64}}`: Dictionary containing indexes for different components.
+    - `components_indexes::Dict{String, Vector{Int}}`: Dictionary containing indexes for different components.
     - `estimation_input::Dict`: Dictionary containing the estimation input parameters.
 
     # Returns
     - `Tuple{Vector{Float64}, Vector{Float64}}`: Tuple containing coefficients and residuals of the fitted AdaLasso model.
 
 """
 function default_estimation_procedure(Estimation_X::Matrix{Tl}, estimation_y::Vector{Fl}, 
-                        components_indexes::Dict{String, Vector{Int64}}, estimation_input::Dict)::Tuple{Vector{Float64}, Vector{Float64}} where {Tl, Fl}
+                        components_indexes::Dict{String, Vector{Int}}, estimation_input::Dict)::Tuple{Vector{Float64}, Vector{Float64}} where {Tl, Fl}
 
     @assert all([key in keys(estimation_input) for key in ["α", "information_criteria", "ϵ", "penalize_exogenous", "penalize_initial_states"]]) "All estimation input parameters must be set"
     α = estimation_input["α"]; information_criteria = estimation_input["information_criteria"]; 

src/information_criteria.jl

@@ -1,21 +1,20 @@
 """
-    get_information(T::Int64, K::Int64, ε::Vector{Float64};
-                    information_criteria::String = "bic", p::Int64 = 0)::Float64
+    get_information(T::Int, K::Int, ε::Vector{Float64};
+                    information_criteria::String = "bic")::Float64
 
     Calculates information criterion value based on the provided parameters and residuals.
 
     # Arguments
-    - `T::Int64`: Number of observations.
-    - `K::Int64`: Number of selected predictors.
+    - `T::Int`: Number of observations.
+    - `K::Int`: Number of selected predictors.
     - `ε::Vector{Float64}`: Vector of residuals.
     - `information_criteria::String`: Method for hyperparameter selection (default: "aic").
-    - `p::Int64`: Number of total predictors (default: 0).
 
     # Returns
     - `Float64`: Information criterion value.
 
 """
-function get_information(T::Int64, K::Int64, ε::Vector{Float64}; information_criteria::String = "aic")::Float64
+function get_information(T::Int, K::Int, ε::Vector{Float64}; information_criteria::String = "aic")::Float64
     if information_criteria == "bic"
         return T*log(var(ε)) + K*log(T)
     elseif information_criteria == "aic"