通过tidyverts包中的键创建时间序列交叉验证切片

Posted 2023-01-27

是否有使用tidyverts包通过密钥创建时间序列交叉验证集的方法？我似乎无法正确处理。下面是我尝试的代表。

该示例涉及为预测创建时间序列交叉验证（提前1步的切片）。键变量具有2个不同的值，我希望有一个包含两个键的时间序列切片的小消息。当我尝试对两个标签进行行绑定时，出现错误。

library(dplyr)
library(tibble)
library(tsibble)

# helper function
create_cv_slices <- function(data, forecast_horizon) 
  data %>%
    dplyr::slice(1:(nrow(data) - forecast_horizon)) %>%
    tsibble::stretch_tsibble(.init = nrow(data) - 2 * forecast_horizon, .step = 1)


# get data
raw_tsbl <- tibble::tribble(
  ~index,      ~key,    ~Revenue,     ~Claims,
  20160101, "series1",  11011836.1, 5386836.696,
  20160201, "series1", 11042641.16, 9967325.715,
  20160301, "series1", 11445687.52, 10947197.89,
  20160401, "series1", 11252943.11, 6980431.415,
  20160101, "series2",    12236155,    12526224,
  20160201, "series2",     8675364,     9812904,
  20160301, "series2",    10081130,     8423497,
  20160401, "series2",    14840111,     8079813
) %>%
  dplyr::mutate(index = tsibble::yearmonth(as.character(index))) %>%
  tsibble::as_tsibble(index = index, key = key)

keys <- unique(raw_tsbl$key)

# split & combine
tbl1 = raw_tsbl %>%
  dplyr::filter(key == keys[1]) %>%
  create_cv_slices(., forecast_horizon = 1) %>%
  tibble::as_tibble()

tbl2 = raw_tsbl %>%
  dplyr::filter(key == keys[2]) %>%
  create_cv_slices(., forecast_horizon = 1) %>%
  tibble::as_tibble()

dplyr::bind_rows(tbl1, tbl2) %>%
  tsibble::as_tsibble(index = index, key = key)
#> Error: A valid tsibble must have distinct rows identified by key and index.
#> Please use `duplicates()` to check the duplicated rows.

谢谢。

答案

看来，使用bind_rows组合小工具是行不通的。使用bind_rows并在validate = FALSE函数中设置as_tsibble，可以创建一个小插曲，但是它将小插曲显示为每日系列，而不是按月（应该是每月）。但是，将rbind与相同的参数设置一起使用，会创建所需的tsibble。

rbind(tbl1, tbl2) %>%
  tsibble::as_tsibble(index = index, key = key, validate = F)

谢谢。