oesg function

Occurrence ETS, general model

Function returns the general occurrence model of the of iETS model.

oesg(y, modelA = "MNN", modelB = "MNN", persistenceA = NULL,
  persistenceB = NULL, phiA = NULL, phiB = NULL, initialA = "o",
  initialB = "o", initialSeasonA = NULL, initialSeasonB = NULL,
  ic = c("AICc", "AIC", "BIC", "BICc"), h = 10, holdout = FALSE,
  bounds = c("usual", "admissible", "none"), silent = c("all", "graph",
  "legend", "output", "none"), xregA = NULL, xregB = NULL,
  initialXA = NULL, initialXB = NULL, regressorsA = c("use", "select"),
  regressorsB = c("use", "select"), ...)

Arguments

• y: Either numeric vector or time series vector.

• modelA: The type of the ETS for the model A.

• modelB: The type of the ETS for the model B.

• persistenceA: The persistence vector $g$, containing smoothing parameters used in the model A. If NULL, then estimated.

• persistenceB: The persistence vector $g$, containing smoothing parameters used in the model B. If NULL, then estimated.

• phiA: The value of the dampening parameter in the model A. Used only for damped-trend models.

• phiB: The value of the dampening parameter in the model B. Used only for damped-trend models.

• initialA: Either "o" - optimal or the vector of initials for the level and / or trend for the model A.

• initialB: Either "o" - optimal or the vector of initials for the level and / or trend for the model B.

• initialSeasonA: The vector of the initial seasonal components for the model A. If NULL, then it is estimated.

• initialSeasonB: The vector of the initial seasonal components for the model B. If NULL, then it is estimated.

• ic: Information criteria to use in case of model selection.

• h: Forecast horizon.

• holdout: If TRUE, holdout sample of size h is taken from the end of the data.

• bounds: What type of bounds to use in the model estimation. The first letter can be used instead of the whole word.

• silent: If silent="none", then nothing is silent, everything is printed out and drawn. silent="all" means that nothing is produced or drawn (except for warnings). In case of silent="graph", no graph is produced. If silent="legend", then legend of the graph is skipped. And finally silent="output" means that nothing is printed out in the console, but the graph is produced. silent also accepts TRUE

  and FALSE. In this case silent=TRUE is equivalent to silent="all", while silent=FALSE is equivalent to silent="none". The parameter also accepts first letter of words ("n", "a", "g", "l", "o").

• xregA: The vector or the matrix of exogenous variables, explaining some parts of occurrence variable of the model A.

• xregB: The vector or the matrix of exogenous variables, explaining some parts of occurrence variable of the model B.

• initialXA: The vector of initial parameters for exogenous variables in the model A. Ignored if xregA is NULL.

• initialXB: The vector of initial parameters for exogenous variables in the model B. Ignored if xregB is NULL.

• regressorsA: Variable defines what to do with the provided xregA: "use" means that all of the data should be used, while "select" means that a selection using ic should be done.

• regressorsB: Similar to the regressorsA, but for the part B of the model.

• ...: The parameters passed to the optimiser, such as maxeval, xtol_rel, algorithm and print_level. The description of these is printed out by nloptr.print.options() function from the nloptr

  package. The default values in the oes function are maxeval=500, xtol_rel=1E-8, algorithm="NLOPT_LN_NELDERMEAD" and print_level=0.

Returns

The object of class "occurrence" is returned. It contains following list of values:

• modelA - the model A of the class oes, that contains the output similar to the one from the oes() function;
• modelB - the model B of the class oes, that contains the output similar to the one from the oes() function.
• B - the vector of all the estimated parameters.

Details

The function estimates probability of demand occurrence, based on the iETS_G state-space model. It involves the estimation and modelling of the two simultaneous state space equations. Thus two parts for the model type, persistence, initials etc.

For the details about the model and its implementation, see the respective vignette: vignette("oes","smooth")

The model is based on:

,

where a_t and b_t are the parameters of the Beta distribution and are modelled using separate ETS models.

Examples

y <- rpois(100,0.1)
oesg(y, modelA="MNN", modelB="ANN")

See Also

es, oes

Author(s)

Ivan Svetunkov, ivan@svetunkov.com