---
title: "crossval_ts"
output: rmarkdown::html_vignette
vignette: >
  %\VignetteIndexEntry{crossval_ts}
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteEncoding{UTF-8}
---

```{r}
library(crossvalidation)
```


```{r}
require(forecast)
data("AirPassengers")

# Example 1 -----

(res1 <- crossval_ts(y=AirPassengers, initial_window = 10,
horizon = 3, fcast_func = forecast::thetaf))
print(colMeans(res1))

(res1_parallel <- crossval_ts(y=AirPassengers, initial_window = 10,
horizon = 3, fcast_func = forecast::thetaf, cl=2L))
print(colMeans(res1_parallel))

# Example 2 -----

fcast_func <- function (y, h, ...)
{
      forecast::forecast(forecast::auto.arima(y, ...),
      h=h, ...)
}

(res2 <- crossval_ts(y=AirPassengers, initial_window = 10, horizon = 3,
fcast_func = fcast_func))
print(res2)
print(colMeans(res2))

(res2_parallel <- crossval_ts(y=AirPassengers, initial_window = 10, horizon = 3,
fcast_func = fcast_func, cl=2L))
print(res2_parallel)
print(colMeans(res2_parallel))

# Example 3 -----

fcast_func <- function (y, h, ...)
{
      forecast::forecast(forecast::ets(y, ...),
      h=h, ...)
}

(res3 <- crossval_ts(y=AirPassengers,
initial_window = 10, horizon = 3, fcast_func = fcast_func))
print(colMeans(res3))

(res3_parallel <- crossval_ts(y=AirPassengers,
initial_window = 10, horizon = 3, fcast_func = fcast_func, cl=2L))
print(colMeans(res3_parallel))

# Example 4 -----

(res4 <- crossval_ts(y=AirPassengers, fcast_func = forecast::thetaf,
initial_window = 10,
horizon = 3,
fixed_window = TRUE))
print(colMeans(res4))

(res4_parallel <- crossval_ts(y=AirPassengers, fcast_func = forecast::thetaf,
initial_window = 10,
horizon = 3,
fixed_window = TRUE, cl=2L))
print(colMeans(res4_parallel))

# Example 5 -----

x <- ts(matrix(rnorm(50), nrow = 25))

fcast_func <- function(y, h = 5, type_forecast=c("mean", "median"))
{
 type_forecast <- match.arg(type_forecast)

 if (type_forecast == "mean")
 {
  means <- colMeans(y)
  return(list(mean = t(replicate(n = h, expr = means))))
 } else {
  medians <- apply(y, 2, median)
  return(list(mean = t(replicate(n = h, expr = medians))))
 }
}

print(fcast_func(x))

(res5 <- crossval_ts(y = x, fcast_func = fcast_func, fit_params = list(type_forecast = "median")))
colMeans(res5)

(res6 <- crossval_ts(y = x, fcast_func = fcast_func, fit_params = list(type_forecast = "mean")))
colMeans(res6)

# Example 6 -----

eval_metric <- function(predicted, observed)
{
  error <- observed - predicted$mean

  res7 <- apply(error, 2, function(x) sqrt(mean(x ^ 2, na.rm = FALSE)))

  return(res7)
}

(res8 <- crossval_ts(y = x, fcast_func = fcast_func, 
                    fit_params = list(type_forecast = "mean"),
eval_metric = eval_metric))

colMeans(res8)
```