Rolling Origin Forecast ResamplingSource:
This resampling method is useful when the data set has a strong time component. The resamples are not random and contain data points that are consecutive values. The function assumes that the original data set are sorted in time order.
A data frame.
The number of samples used for analysis/modeling in the initial resample.
The number of samples used for each assessment resample.
A logical. Should the analysis resample grow beyond the size specified by
initialat each resample?.
A integer indicating how many (if any) additional resamples to skip to thin the total amount of data points in the analysis resample. See the example below.
A value to include a lag between the assessment and analysis set. This is useful if lagged predictors will be used during training and testing.
Not currently used.
An tibble with classes
data.frame. The results include a column for the data split objects
and a column called
id that has a character string with the resample
The main options,
assess, control the number of
data points from the original data that are in the analysis and assessment
set, respectively. When
cumulative = TRUE, the analysis set will grow as
resampling continues while the assessment set size will always remain
skip enables the function to not use every data point in the resamples.
skip = 0, the resampling data sets will increment by one position.
Suppose that the rows of a data set are consecutive days. Using
skip = 6
will make the analysis data set to operate on weeks instead of days. The
assessment set size is not affected by this option.
set.seed(1131) ex_data <- data.frame(row = 1:20, some_var = rnorm(20)) dim(rolling_origin(ex_data)) #>  15 2 dim(rolling_origin(ex_data, skip = 2)) #>  5 2 dim(rolling_origin(ex_data, skip = 2, cumulative = FALSE)) #>  5 2 # You can also roll over calendar periods by first nesting by that period, # which is especially useful for irregular series where a fixed window # is not useful. This example slides over 5 years at a time. library(dplyr) library(tidyr) data(drinks, package = "modeldata") drinks_annual <- drinks %>% mutate(year = as.POSIXlt(date)$year + 1900) %>% nest(data = c(-year)) multi_year_roll <- rolling_origin(drinks_annual, cumulative = FALSE) analysis(multi_year_roll$splits[]) #> # A tibble: 5 × 2 #> year data #> <dbl> <list> #> 1 1992 <tibble [12 × 2]> #> 2 1993 <tibble [12 × 2]> #> 3 1994 <tibble [12 × 2]> #> 4 1995 <tibble [12 × 2]> #> 5 1996 <tibble [12 × 2]> assessment(multi_year_roll$splits[]) #> # A tibble: 1 × 2 #> year data #> <dbl> <list> #> 1 1997 <tibble [12 × 2]>