Forecasting horizont argument

[dfalbel]

I am wondering if it would make sense an horizon parameter in the mlts_transform function. An example application would be predicting the next 7 days in a daily time series using a multi-target regression model.

The idea would be to do something like this in the current output:

library(maltese)
library(dplyr)

mlts <- mlts_transform(
  r_enwiki, date, pageviews,
  p = 7, # how many previous points of data to use as features
  granularity = "day", # optional, can be automatically detected,
  extras = TRUE, extrasAsFactors = TRUE # FALSE by default :D
)

mlts <-   mlts %>% mutate(
    y_1 = lead(y, n = 1, order_by = dt),
    y_2 = lead(y, n = 2, order_by = dt),
    y_3 = lead(y, n = 3, order_by = dt)
  )

str(mlts)
'data.frame':	587 obs. of  17 variables:
 $ dt                  : POSIXct, format: "2015-10-08" "2015-10-09" "2015-10-10" "2015-10-11" ...
 $ y                   : num  3278 2886 1692 1902 3030 ...
 $ mlts_extras_monthday: Ord.factor w/ 31 levels "1"<"2"<"3"<"4"<..: 8 9 10 11 12 13 14 15 16 17 ...
 $ mlts_extras_weekday : Ord.factor w/ 7 levels "Monday"<"Tuesday"<..: 4 5 6 7 1 2 3 4 5 6 ...
 $ mlts_extras_week    : Ord.factor w/ 53 levels "1"<"2"<"3"<"4"<..: 41 41 41 41 41 41 41 42 42 42 ...
 $ mlts_extras_month   : Ord.factor w/ 12 levels "January"<"February"<..: 10 10 10 10 10 10 10 10 10 10 ...
 $ mlts_extras_year    : Ord.factor w/ 3 levels "2015"<"2016"<..: 1 1 1 1 1 1 1 1 1 1 ...
 $ mlts_lag_1          : num  3385 3278 2886 1692 1902 ...
 $ mlts_lag_2          : num  3695 3385 3278 2886 1692 ...
 $ mlts_lag_3          : num  3041 3695 3385 3278 2886 ...
 $ mlts_lag_4          : num  1540 3041 3695 3385 3278 ...
 $ mlts_lag_5          : num  1431 1540 3041 3695 3385 ...
 $ mlts_lag_6          : num  2575 1431 1540 3041 3695 ...
 $ mlts_lag_7          : num  3072 2575 1431 1540 3041 ...
 $ y_1                 : num  2886 1692 1902 3030 3245 ...
 $ y_2                 : num  1692 1902 3030 3245 3313 ...
 $ y_3                 : num  1902 3030 3245 3313 3133 ...

Let me know what you think! I could work on a PR If you think it would be useful!

[bearloga]

Ooooh, that's a neat idea. I like it! If you'd like to make a PR for this that'd be great!

btw I think for consistency – and to indicate that these are maltese-created columns – the names would need to be prefixed with mlts_lead_