Error in x[, maxlag + 1] <- time(y2) & Error in x[, maxlag + 2:f] <- seasons about forecastxgb-r-package

[ellisp]

Thanks for the reproducible examples. Earthquake permitting, I should be able to fix them over the next week. I may need a different approach to seasonality with high frequency though, as I don't think 366 dummy variables are likely to be useful (although it could be one of several options).

[ellisp]

They might be related to #15 which is quite a recent fix. Were you working with a time series with frequency = 1? If so, if you reinstall the latest version it might fix it.

[mhnierhoff]

Thanks for the quick reply. The time series for problem 1 is frequency = 365.25 (daily data) and for the second one it is 12 (monthly data).

[ellisp]

hmm, ok. I'm not surprised there's bugs. Could you get me a reproducible example, or at least the code that does it? Could do me a favour and devtools::install_github() the latest version (unless you've updated in the past four days), it's just possible the frequency=12 problem would be fixed by that.

This looks like two separate problems. I haven't thought through what to do when frequency is not an integer so that one doesn't surprise me, but the monthly one should be fine.

What's a good daily data source for testing?

[mhnierhoff]

I've just updated the package and there is no effect. But I think I found the problem. There seems to be still a problem with the frequency settings.

Works:

bla_1 <- ts(runif(35, min = 5000, max = 10000))
(or: bla_1 <- ts(runif(35, min = 5000, max = 10000), start = c(2013,12)))

bla_1_XGB_model <- xgbts(y = bla_1)

Stopping. Best iteration: 25

bla_2 <- ts(runif(1076, min = 5000, max = 10000), start = c(2013, yday("2013-12-03")))

bla_2_XGB_model <- xgbts(y = bla_2)

Stopping. Best iteration: 13

---

Don't works:

bla_1 <- ts(runif(35, min = 5000, max = 10000), start = c(2013,12), frequency = 12)

Error in x[, maxlag + 2:f] <- seasons :
number of items to replace is not a multiple of replacement length
In addition: Warning message:
In xgbts(y = bla_1) :
y is too short for cross-validation. Will validate on the most recent 20 per cent instead.

bla_2 <- ts(runif(1076, min = 5000, max = 10000), start = c(2013, yday("2013-12-03")), 
            frequency = 365.25)

bla_2_XGB_model <- xgbts(y = bla_2)

Error in x[, maxlag + 1] <- time(y2) :
number of items to replace is not a multiple of replacement length

[ellisp]

I'm going to close this. Thanks for bringing it up, it's led to a fruitful line of work.

The problem with the monthly series should be fixed - the short series should at least run, and there is now a better option for these short series (and maybe better full stop) of setting seas_method = 'decompose' which should give better results (i think).

The problem with the daily series is now a duplicate of the content of #22 and #26.