version 4.0.1

DESCRIPTION

@@ -1,9 +1,9 @@
 Package: smooth
 Type: Package
 Title: Forecasting Using State Space Models
-Version: 4.0.0
-Date: 2023-09-15
-Authors@R: person("Ivan", "Svetunkov", email = "ivan@svetunkov.ru", role = c("aut", "cre"),
+Version: 4.0.1
+Date: 2024-04-01
+Authors@R: person("Ivan", "Svetunkov", email = "ivan@svetunkov.com", role = c("aut", "cre"),
                   comment="Lecturer at Centre for Marketing Analytics and Forecasting, Lancaster University, UK")
 URL: https://github.com/config-i1/smooth
 BugReports: https://github.com/config-i1/smooth/issues
@@ -24,12 +24,13 @@ LinkingTo: Rcpp, RcppArmadillo (>= 0.8.100.0.0)
 Suggests: legion, numDeriv, testthat, knitr, rmarkdown, doMC,
         doParallel, foreach
 VignetteBuilder: knitr
-RoxygenNote: 7.2.3
+RoxygenNote: 7.3.1
 Encoding: UTF-8
+ByteCompile: true
 NeedsCompilation: yes
-Packaged: 2023-09-16 10:17:15 UTC; config
+Packaged: 2024-04-01 12:18:10 UTC; config
 Author: Ivan Svetunkov [aut, cre] (Lecturer at Centre for Marketing Analytics
     and Forecasting, Lancaster University, UK)
-Maintainer: Ivan Svetunkov <ivan@svetunkov.ru>
+Maintainer: Ivan Svetunkov <ivan@svetunkov.com>
 Repository: CRAN
-Date/Publication: 2023-09-17 04:30:02 UTC
+Date/Publication: 2024-04-01 14:50:02 UTC

MD5

@@ -1,27 +1,27 @@
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-0bf119877847d6f1b4a492b15a8bec8b *NAMESPACE
-8b800fde5a3d1e48d658e84d31624bca *NEWS
-a62d3797825f0e330012fda89473841e *R/RcppExports.R
-f8253fb8ef049a6f3f36b6a7819df39e *R/adam-es.R
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+42b45b14e084f26970802fa88d5cc755 *NAMESPACE
+b011be1b5b1ae15a33f9d3a24f3d4e96 *NEWS
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@@ -33,57 +33,57 @@ a26210beaf498241d089d307cb553e10 *R/simgum.R
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-25a319928b6b47d06069d3656daa8ba0 *build/vignette.rds
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-7ebfc529b07de674f85d58f8594e8fe0 *man/cma.Rd
-2a771d2ca635a63be4ecae3feac90520 *man/es.Rd
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+7b65975013b9f309d8449ab544cfd760 *man/es.Rd
 163b8603f9a45ef305b7046ef0c647f4 *man/forecast.smooth.Rd
-eb6175f636bd9ba3a1440e2d28f364f9 *man/gum.Rd
+29dae08a95088bfce1a5732f104abb2f *man/gum.Rd
 7ce89f3f44bc255844499d9b3a7d28dc *man/isFunctions.Rd
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-09f1446e3dcabcc7514b8d9fcf3f3d31 *man/msdecompose.Rd
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 bc9beae49b356b2cd99143e1744a1b7a *man/multicov.Rd
 303b3dead241b824860911ff0b8985e1 *man/oes.Rd
 da6f58f8aa4baa8edd9e146f86e0591e *man/oesg.Rd
@@ -95,26 +95,26 @@ be7382f8b2d98bd730b7ab6606beece3 *man/reexports.Rd
 fed68f135199be9b43560dfc207ec219 *man/rmultistep.Rd
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 c55eba92adfb3630515f1d1d0e3cfbf8 *man/sim.es.Rd
-050e101dde29069cd2ea1d11882741a0 *man/sim.gum.Rd
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 e2e33ea158da93cf2577ab9c8a45fe69 *man/sim.oes.Rd
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 b66a2f843f81d19ddfb1476f7df3f234 *man/smoothCombine.Rd
 937692b5fb25d64ce157f8815973ddd1 *man/sowhat.Rd
 716e28b94fcebc0c4d0c19df77cff789 *man/ssarima.Rd
 2e7b3f56789236798d3f6642813f224c *src/Makevars
 7cc404a2b2d3a6aea6d80ef2d080e3c7 *src/Makevars.win
-ce9de74824160030765ca2a360f46716 *src/RcppExports.cpp
-5b06fafc4201f4c02590927142a06adc *src/adamGeneral.cpp
-b36bcca51dd6ae49171ca576468a9a13 *src/adamGeneral.h
-be656160bfd37c26ecdc5058a9967f5f *src/adamRefitter.cpp
-85e0a292d0be7883590e02684057c002 *src/adamSimulator.cpp
+8e457cc39ddbc90b7d23e03f830cb801 *src/RcppExports.cpp
+fb257039cd14249b843880776cfe5eee *src/adamGeneral.cpp
+d262d8c40bc6304e9b3ac2380951ad6c *src/adamGeneral.h
+e679ff3ae4451d365bd29eb0a7bb45a6 *src/adamRefitter.cpp
+1a6c8ac3da8750e1b06c5b343fb32876 *src/adamSimulator.cpp
 3e778d3caa119ed42a745ca109cdecc3 *src/matrixPowerWrap.cpp
 9fb0915a4e7ffe192150808e5e890c69 *src/registerDynamicSymbol.c
-7e976d7ca79380b4fd2e517aa92d55fc *src/ssGeneral.cpp
-80552072ea20f750d412a9f510a2d337 *src/ssGeneral.h
+95e13cf27528965b1d8dc790f46ccea0 *src/ssGeneral.cpp
+a2a1915024432000322f5f4f0b8561cf *src/ssGeneral.h
 3b2327af0bf2cc52c6c29ba3c6c2adab *src/ssOccurrence.cpp
 2251fdf370b5e6cfbafa86986dc99c80 *src/ssSimulator.cpp
 4e0f43b23ba7abbb29b225614e88f276 *tests/testthat.R
@@ -134,5 +134,5 @@ bb04e095c3fb0005695affa4afd2e923 *tests/testthat/test_oes.R
 3456eace8d7510180a0cdd3605c179ea *vignettes/simulate.Rmd
 677443549ff9966b898196aabb087151 *vignettes/sma.Rmd
 f2be0cff7be52faff06f2a377333a8c6 *vignettes/smooth-Documentation.pdf
-e9a1a24ea9b95130cbef42a2085f378a *vignettes/smooth.Rmd
+c956ff6e4644fcfb50ab12fb44b3ce84 *vignettes/smooth.Rmd
 c5df97a93785052b7e8ac58652d7ded8 *vignettes/ssarima.Rmd

NAMESPACE

@@ -116,6 +116,7 @@ S3method(rstandard,smooth)
 S3method(rstudent,adam)
 S3method(rstudent,smooth)
 S3method(sigma,adam)
+S3method(sigma,msdecompose)
 S3method(sigma,smooth)
 S3method(sigma,smooth.sim)
 S3method(simulate,adam)

NEWS

@@ -1,3 +1,22 @@
+smooth v4.0.1 (Release data: 2024-04-01)
+=======
+
+Changes:
+* Initialisation of ARIMA is now more precise, both for "optimal" and "backcasting", leading to a better fit of the model to the data. This was done using more meaningful initial values of states and by cutting the small step of refitting the head states in ARIMA with backcasting.
+* Further tuning of the initialisation via backcasting. This time in C++ code for the preheating period.
+* Rewrote the polynomialiser() function in C++. This should speed up ADAM ARIMA and msarima().
+* Renamed the internal variable "profileObseredTable" into a more meaningful "indexLookupTable".
+
+Bugfixes:
+* Fixed a bug with multicov.adam() and simulated covariance matrix.
+* adam() ARIMA and msarima() with backcasting would count number of components towards the number of estimated parameters.
+* adam() would not remove components of ETS correctly in cases of small samples (e.g. obs == 2*frequency).
+* Fixed the code of sma() - there was a bug in the architecture resulting in wrong fitting.
+* ARIMA parameters are now initialised even when ACF/PACF returns NaNs (exotic case).
+* Fixed bugs in es() not accepting xreg of a different length than y and not using the existing data in pre-estimated model via model=ourModel. Thanks to Nikos Kourentzes for spotting these!
+* Another bugfix in es() and xreg: resolved the issue with the simulated data.
+
+
 smooth v4.0.0 (Release data: 2023-09-15)
 =======
 

R/RcppExports.R

@@ -1,28 +1,32 @@
 # Generated by using Rcpp::compileAttributes() -> do not edit by hand
 # Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393
 
-adamFitterWrap <- function(matrixVt, matrixWt, matrixF, vectorG, lags, profilesObserved, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, vectorYt, vectorOt, backcast) {
-    .Call('_smooth_adamFitterWrap', PACKAGE = 'smooth', matrixVt, matrixWt, matrixF, vectorG, lags, profilesObserved, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, vectorYt, vectorOt, backcast)
+adamFitterWrap <- function(matrixVt, matrixWt, matrixF, vectorG, lags, indexLookupTable, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, vectorYt, vectorOt, backcast) {
+    .Call('_smooth_adamFitterWrap', PACKAGE = 'smooth', matrixVt, matrixWt, matrixF, vectorG, lags, indexLookupTable, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, vectorYt, vectorOt, backcast)
 }
 
-adamForecasterWrap <- function(matrixWt, matrixF, lags, profilesObserved, profilesRecent, E, T, S, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon) {
-    .Call('_smooth_adamForecasterWrap', PACKAGE = 'smooth', matrixWt, matrixF, lags, profilesObserved, profilesRecent, E, T, S, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon)
+adamForecasterWrap <- function(matrixWt, matrixF, lags, indexLookupTable, profilesRecent, E, T, S, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon) {
+    .Call('_smooth_adamForecasterWrap', PACKAGE = 'smooth', matrixWt, matrixF, lags, indexLookupTable, profilesRecent, E, T, S, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon)
 }
 
-adamErrorerWrap <- function(matrixVt, matrixWt, matrixF, lags, profilesObserved, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon, vectorYt, vectorOt) {
-    .Call('_smooth_adamErrorerWrap', PACKAGE = 'smooth', matrixVt, matrixWt, matrixF, lags, profilesObserved, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon, vectorYt, vectorOt)
+adamErrorerWrap <- function(matrixVt, matrixWt, matrixF, lags, indexLookupTable, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon, vectorYt, vectorOt) {
+    .Call('_smooth_adamErrorerWrap', PACKAGE = 'smooth', matrixVt, matrixWt, matrixF, lags, indexLookupTable, profilesRecent, Etype, Ttype, Stype, componentsNumberETS, nSeasonal, nArima, nXreg, constant, horizon, vectorYt, vectorOt)
 }
 
-adamRefitterWrap <- function(matrixYt, matrixOt, arrayVt, arrayF, arrayWt, matrixG, E, T, S, lags, profilesObserved, arrayProfilesRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant) {
-    .Call('_smooth_adamRefitterWrap', PACKAGE = 'smooth', matrixYt, matrixOt, arrayVt, arrayF, arrayWt, matrixG, E, T, S, lags, profilesObserved, arrayProfilesRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant)
+adamPolynomialiser <- function(B, arOrders, iOrders, maOrders, arEstimate, maEstimate, armaParameters, lags) {
+    .Call('_smooth_adamPolynomialiser', PACKAGE = 'smooth', B, arOrders, iOrders, maOrders, arEstimate, maEstimate, armaParameters, lags)
 }
 
-adamReforecasterWrap <- function(arrayErrors, arrayOt, arrayF, arrayWt, matrixG, E, T, S, lags, profilesObserved, arrayProfileRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant) {
-    .Call('_smooth_adamReforecasterWrap', PACKAGE = 'smooth', arrayErrors, arrayOt, arrayF, arrayWt, matrixG, E, T, S, lags, profilesObserved, arrayProfileRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant)
+adamRefitterWrap <- function(matrixYt, matrixOt, arrayVt, arrayF, arrayWt, matrixG, E, T, S, lags, indexLookupTable, arrayProfilesRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant) {
+    .Call('_smooth_adamRefitterWrap', PACKAGE = 'smooth', matrixYt, matrixOt, arrayVt, arrayF, arrayWt, matrixG, E, T, S, lags, indexLookupTable, arrayProfilesRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant)
 }
 
-adamSimulatorWrap <- function(arrayVt, matrixErrors, matrixOt, arrayF, matrixWt, matrixG, E, T, S, lags, profilesObserved, profilesRecent, nSeasonal, componentsNumber, nArima, nXreg, constant) {
-    .Call('_smooth_adamSimulatorWrap', PACKAGE = 'smooth', arrayVt, matrixErrors, matrixOt, arrayF, matrixWt, matrixG, E, T, S, lags, profilesObserved, profilesRecent, nSeasonal, componentsNumber, nArima, nXreg, constant)
+adamReforecasterWrap <- function(arrayErrors, arrayOt, arrayF, arrayWt, matrixG, E, T, S, lags, indexLookupTable, arrayProfileRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant) {
+    .Call('_smooth_adamReforecasterWrap', PACKAGE = 'smooth', arrayErrors, arrayOt, arrayF, arrayWt, matrixG, E, T, S, lags, indexLookupTable, arrayProfileRecent, nSeasonal, componentsNumberETS, nArima, nXreg, constant)
+}
+
+adamSimulatorWrap <- function(arrayVt, matrixErrors, matrixOt, arrayF, matrixWt, matrixG, E, T, S, lags, indexLookupTable, profilesRecent, nSeasonal, componentsNumber, nArima, nXreg, constant) {
+    .Call('_smooth_adamSimulatorWrap', PACKAGE = 'smooth', arrayVt, matrixErrors, matrixOt, arrayF, matrixWt, matrixG, E, T, S, lags, indexLookupTable, profilesRecent, nSeasonal, componentsNumber, nArima, nXreg, constant)
 }
 
 matrixPowerWrap <- function(matA, power) {