Merge pull request #270 from LAMPSPUC/naive_models

Naive models

Author: guilhermebodin

Project.toml

@@ -1,7 +1,7 @@
 name = "StateSpaceModels"
 uuid = "99342f36-827c-5390-97c9-d7f9ee765c78"
 authors = ["raphaelsaavedra <[email protected]>, guilhermebodin <[email protected]>, mariohsouto"]
-version = "0.5.15"
+version = "0.5.16"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

datasets/airpassengers.csv

@@ -1,145 +1,145 @@
 month,passengers
-1949-01,112
-1949-02,118
-1949-03,132
-1949-04,129
-1949-05,121
-1949-06,135
-1949-07,148
-1949-08,148
-1949-09,136
-1949-10,119
-1949-11,104
-1949-12,118
-1950-01,115
-1950-02,126
-1950-03,141
-1950-04,135
-1950-05,125
-1950-06,149
-1950-07,170
-1950-08,170
-1950-09,158
-1950-10,133
-1950-11,114
-1950-12,140
-1951-01,145
-1951-02,150
-1951-03,178
-1951-04,163
-1951-05,172
-1951-06,178
-1951-07,199
-1951-08,199
-1951-09,184
-1951-10,162
-1951-11,146
-1951-12,166
-1952-01,171
-1952-02,180
-1952-03,193
-1952-04,181
-1952-05,183
-1952-06,218
-1952-07,230
-1952-08,242
-1952-09,209
-1952-10,191
-1952-11,172
-1952-12,194
-1953-01,196
-1953-02,196
-1953-03,236
-1953-04,235
-1953-05,229
-1953-06,243
-1953-07,264
-1953-08,272
-1953-09,237
-1953-10,211
-1953-11,180
-1953-12,201
-1954-01,204
-1954-02,188
-1954-03,235
-1954-04,227
-1954-05,234
-1954-06,264
-1954-07,302
-1954-08,293
-1954-09,259
-1954-10,229
-1954-11,203
-1954-12,229
-1955-01,242
-1955-02,233
-1955-03,267
-1955-04,269
-1955-05,270
-1955-06,315
-1955-07,364
-1955-08,347
-1955-09,312
-1955-10,274
-1955-11,237
-1955-12,278
-1956-01,284
-1956-02,277
-1956-03,317
-1956-04,313
-1956-05,318
-1956-06,374
-1956-07,413
-1956-08,405
-1956-09,355
-1956-10,306
-1956-11,271
-1956-12,306
-1957-01,315
-1957-02,301
-1957-03,356
-1957-04,348
-1957-05,355
-1957-06,422
-1957-07,465
-1957-08,467
-1957-09,404
-1957-10,347
-1957-11,305
-1957-12,336
-1958-01,340
-1958-02,318
-1958-03,362
-1958-04,348
-1958-05,363
-1958-06,435
-1958-07,491
-1958-08,505
-1958-09,404
-1958-10,359
-1958-11,310
-1958-12,337
-1959-01,360
-1959-02,342
-1959-03,406
-1959-04,396
-1959-05,420
-1959-06,472
-1959-07,548
-1959-08,559
-1959-09,463
-1959-10,407
-1959-11,362
-1959-12,405
-1960-01,417
-1960-02,391
-1960-03,419
-1960-04,461
-1960-05,472
-1960-06,535
-1960-07,622
-1960-08,606
-1960-09,508
-1960-10,461
-1960-11,390
-1960-12,432
+1949-01-01,112
+1949-02-01,118
+1949-03-01,132
+1949-04-01,129
+1949-05-01,121
+1949-06-01,135
+1949-07-01,148
+1949-08-01,148
+1949-09-01,136
+1949-10-01,119
+1949-11-01,104
+1949-12-01,118
+1950-01-01,115
+1950-02-01,126
+1950-03-01,141
+1950-04-01,135
+1950-05-01,125
+1950-06-01,149
+1950-07-01,170
+1950-08-01,170
+1950-09-01,158
+1950-10-01,133
+1950-11-01,114
+1950-12-01,140
+1951-01-01,145
+1951-02-01,150
+1951-03-01,178
+1951-04-01,163
+1951-05-01,172
+1951-06-01,178
+1951-07-01,199
+1951-08-01,199
+1951-09-01,184
+1951-10-01,162
+1951-11-01,146
+1951-12-01,166
+1952-01-01,171
+1952-02-01,180
+1952-03-01,193
+1952-04-01,181
+1952-05-01,183
+1952-06-01,218
+1952-07-01,230
+1952-08-01,242
+1952-09-01,209
+1952-10-01,191
+1952-11-01,172
+1952-12-01,194
+1953-01-01,196
+1953-02-01,196
+1953-03-01,236
+1953-04-01,235
+1953-05-01,229
+1953-06-01,243
+1953-07-01,264
+1953-08-01,272
+1953-09-01,237
+1953-10-01,211
+1953-11-01,180
+1953-12-01,201
+1954-01-01,204
+1954-02-01,188
+1954-03-01,235
+1954-04-01,227
+1954-05-01,234
+1954-06-01,264
+1954-07-01,302
+1954-08-01,293
+1954-09-01,259
+1954-10-01,229
+1954-11-01,203
+1954-12-01,229
+1955-01-01,242
+1955-02-01,233
+1955-03-01,267
+1955-04-01,269
+1955-05-01,270
+1955-06-01,315
+1955-07-01,364
+1955-08-01,347
+1955-09-01,312
+1955-10-01,274
+1955-11-01,237
+1955-12-01,278
+1956-01-01,284
+1956-02-01,277
+1956-03-01,317
+1956-04-01,313
+1956-05-01,318
+1956-06-01,374
+1956-07-01,413
+1956-08-01,405
+1956-09-01,355
+1956-10-01,306
+1956-11-01,271
+1956-12-01,306
+1957-01-01,315
+1957-02-01,301
+1957-03-01,356
+1957-04-01,348
+1957-05-01,355
+1957-06-01,422
+1957-07-01,465
+1957-08-01,467
+1957-09-01,404
+1957-10-01,347
+1957-11-01,305
+1957-12-01,336
+1958-01-01,340
+1958-02-01,318
+1958-03-01,362
+1958-04-01,348
+1958-05-01,363
+1958-06-01,435
+1958-07-01,491
+1958-08-01,505
+1958-09-01,404
+1958-10-01,359
+1958-11-01,310
+1958-12-01,337
+1959-01-01,360
+1959-02-01,342
+1959-03-01,406
+1959-04-01,396
+1959-05-01,420
+1959-06-01,472
+1959-07-01,548
+1959-08-01,559
+1959-09-01,463
+1959-10-01,407
+1959-11-01,362
+1959-12-01,405
+1960-01-01,417
+1960-02-01,391
+1960-03-01,419
+1960-04-01,461
+1960-05-01,472
+1960-06-01,535
+1960-07-01,622
+1960-08-01,606
+1960-09-01,508
+1960-10-01,461
+1960-11-01,390
+1960-12-01,432

docs/src/manual.md

@@ -57,6 +57,16 @@ LocalLinearTrend
 MultivariateBasicStructural
 ```
 
+## Naive models
+
+Naive models are not state space models but are good benchmarks for forecasting, for this reason we implemented them here.
+
+```@docs
+Naive
+SeasonalNaive
+ExperimentalSeasonalNaive
+```
+
 ## Automatic forecasting
 
 Some models have various parameters and modelling options. The package provides simple functions that

src/StateSpaceModels.jl

@@ -47,6 +47,7 @@ include("models/sarima.jl")
 include("models/linear_regression.jl")
 include("models/unobserved_components.jl")
 include("models/exponential_smoothing.jl")
+include("models/naive_models.jl")
 include("models/dar.jl")
 
 include("visualization/forecast.jl")
@@ -56,6 +57,7 @@ include("visualization/diagnostics.jl")
 
 # Exported types and structs
 export BasicStructural
+export ExperimentalSeasonalNaive
 export BasicStructuralExplanatory
 export DAR
 export ExponentialSmoothing
@@ -69,9 +71,11 @@ export LocalLevelCycle
 export LocalLevelExplanatory
 export LocalLinearTrend
 export MultivariateBasicStructural
+export Naive
 export Optimizer
 export SARIMA
 export ScalarKalmanFilter
+export SeasonalNaive
 export StateSpaceModel
 export UnivariateKalmanFilter
 export UnobservedComponents

src/kalman_filter_and_smoother.jl

@@ -80,6 +80,14 @@ function assert_possible_to_filter(model::StateSpaceModel)
     error("Model has not been estimated yet, please use `fit!`.")
 end
 
+get_standard_residuals(fo::FilterOutput) = get_standard_innovations(fo)
+function get_standard_innovations(fo::FilterOutput)
+    v = get_innovations(fo)
+    F = get_innovations_variance(fo)
+    @assert size(v, 2) == 1 # Must be univariate
+    return v[:, 1] ./ sqrt.(F[1, 1, :])
+end
+
 """
     get_innovations
 

src/models/common.jl

@@ -4,11 +4,13 @@ num_series(model::StateSpaceModel) = num_series(system(model))
 system(model::StateSpaceModel) = model.system
 isunivariate(model::StateSpaceModel) = isa(model.system.y, Vector)
 model_name(model::StateSpaceModel) = "$(typeof(model))"
+length_observations(model::StateSpaceModel) = length(model.system.y)
+observations(model::StateSpaceModel) = model.system.y
 
 function lagmat(y::Vector{Fl}, k::Int) where Fl
     X = Matrix{Fl}(undef, length(y) - k, k)
     for i in 1:k
         X[:, i] = lag(y, i)[k + 1:end]
     end
     return X
-end
+end