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fabletools 0.8.0

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@mitchelloharawild mitchelloharawild released this 28 Jun 12:37

New features

  • Model combination now uses a joint N-way convolution that correctly accounts
    for the full residual covariance structure across all component models.
  • Added sum(), mean(), and weighted.mean() S3 methods for mdl_ts and
    mdl_lst objects, providing explicit N-way model combination with equal,
    uniform, or custom weights respectively.
  • All model arithmetic operators (+, -, *, /) now produce a single
    model_combination object with correctly implied weights. Arbitrary nested
    expressions such as ((m1 + m2)/2 + m3)/2 automatically flatten into a
    single joint combination.

Bug fixes

  • combination_ensemble() now computes inverse-variance weights using
    response residuals (type = "response") rather than innovation residuals.
    This is particularly important for models where the innovation residual
    variance is not comparable to the variance on the response scale, e.g. for
    multiplicative ETS models (#320).
  • Replaced unintuitive behaviour of previous pairwise iterative approach for
    model combination (e.g. (A + B + C)/3 as ((A + B) + C)/3) which used
    pairwise covariances that yield different results for different orders of
    models (#321).
  • Fixed computing training accuracy() with global models.

Improvements

  • Added with_bottom argument to coherent_smat() for inclusion of identity
    matrix entries for bottom level time series. Setting this to FALSE produces
    the A matrix (aggregated series only).
  • Added "bottom" attribute for coherent_smat() for safely identifying the
    index positions of bottom level series via graph coherency structures.

Breaking changes

  • The mdl_df class for mable data frames will be renamed to mbl_df (a
    mable data frame). This is to avoid a naming inconsistency with the mdl_ts
    and mdl_lst (for local and global models respectively), and free the class
    name for an eventual mdl_df multi-model class. The mbl_df class has been
    added, and mdl_df will be removed in the next minor release (v0.9.0).