align with R's v0.8.1

Author: thierrymoudiki

CHANGES.md

@@ -1,3 +1,9 @@
+# version 0.8.1
+
+- Align with R version (see [https://github.com/Techtonique/ahead/blob/main/NEWS.md#version-070](https://github.com/Techtonique/ahead/blob/main/NEWS.md#version-070) and [https://github.com/Techtonique/ahead/blob/main/NEWS.md#version-080](https://github.com/Techtonique/ahead/blob/main/NEWS.md#version-080)) as much as possible
+- moving block bootstrap in `ridge2f`, `basicf`, in addition to circular block bootstrap from 0.6.2
+- adjust R-Vine copulas on residuals for `ridge2f` simulation (with empirical and Gaussian marginals)
+
 # version 0.6.2
 
 - Add Block Bootstrap to `ridge2f` and `basicf`

ahead/Basic/BasicForecaster.py

@@ -20,21 +20,23 @@ class BasicForecaster():
 
         type_pi: a string;
             Type of prediction interval (currently "gaussian",
-            or "bootstrap")
+            "bootstrap" (independent), "blockbootstrap" (circular), 
+            "movingblockbootstrap")
 
         block_length: an integer
-            length of block for multivariate circular block bootstrap (`type_pi == blockbootstrap`)            
+            length of block for multivariate block bootstrap (`type_pi == blockbootstrap`
+            or `type_pi == movingblockbootstrap`)            
             
         B: an integer;
-            Number of bootstrap replications for `type_pi == bootstrap`
+            Number of replications
 
         date_formatting: a string;
             Currently:
             - "original": yyyy-mm-dd
             - "ms": milliseconds
 
         seed: an integer;
-            reproducibility seed for type_pi == 'bootstrap'
+            reproducibility seed 
 
     Attributes:
 
@@ -151,8 +153,8 @@ def forecast(self, df):
 
         y = mv.compute_y_mts(self.input_df, frequency)
 
-        if self.type_pi is "blockbootstrap":            
-            assert self.block_length is not None, "For `type_pi == 'blockbootstrap'`, `block_length` must be not None"
+        if self.type_pi in ("blockbootstrap", "movingblockbootstrap"):            
+            assert self.block_length is not None, "For `type_pi in ('blockbootstrap', 'movingblockbootstrap')`, `block_length` must be not None"
 
         self.fcast_ = config.AHEAD_PACKAGE.basicf(
             y,
@@ -188,7 +190,8 @@ def forecast(self, df):
             for i in range(n_series)
         )
 
-        if self.type_pi == "bootstrap" or self.type_pi == "blockbootstrap":
+        if self.type_pi in ("bootstrap", "blockbootstrap", 
+                            "movingblockbootstrap"):
             self.sims_ = tuple(
                 np.asarray(self.fcast_.rx2["sims"][i]) for i in range(self.B)
             )

ahead/Ridge2/Ridge2Regressor.py

@@ -155,6 +155,12 @@ def __init__(
         date_formatting ="original",
         seed =123,
     ):
+        
+        if not config.R_IS_INSTALLED:
+            raise ImportError("R is not installed! \n" + config.USAGE_MESSAGE)
+        
+        if not config.RPY2_IS_INSTALLED:
+            raise ImportError(config.RPY2_ERROR_MESSAGE + config.USAGE_MESSAGE)                
 
         self.h = h
         self.level = level

examples/basicforecaster.py

@@ -122,3 +122,37 @@
 print(d4.mean_)
 print(d4.lower_)
 print(d4.upper_)
+
+print("\n")
+print("Example 5 -----")
+
+dataset = {
+ 'date' : ['2001-01-01', '2002-01-01', '2003-01-01', 
+           '2004-01-01', '2005-01-01', '2006-01-01', 
+           '2007-01-01'],
+ 'series1' : [34, 30, 35.6, 33.3, 38.1, 34.4, 33.9],    
+ 'series2' : [4, 5.5, 5.6, 6.3, 5.1, 4.9, 4.7],
+ 'series3' : [100, 100.5, 100.6, 100.2, 100.1, 99.9, 101.0]}
+df = pd.DataFrame(dataset).set_index('date')
+
+
+d5 = BasicForecaster(h = 5, date_formatting = "original", 
+type_pi="movingblockbootstrap", B=20, block_length=3)
+
+start = time()
+d5.forecast(df)
+print(f"Elapsed: {time()-start} \n")
+
+print("\n output_dates_: \n")
+print(d5.output_dates_)
+
+print("\n mean, lower, upper as numpy arrays: \n")
+print(d5.mean_)
+print(d5.lower_)
+print(d5.upper_)
+
+print("\n result_dfs_: \n")
+print(d5.result_dfs_)
+
+print("\n sims_: \n")
+print(d5.sims_)

setup.py

@@ -2,7 +2,7 @@
 from codecs import open
 from os import path
 
-__version__ = "0.6.2"
+__version__ = "0.8.1"
 
 here = path.abspath(path.dirname(__file__))