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Hello @jeremyrcoyle and @nhejazi, Can we apply folds_rolling_origin on multivariate data where we have one target and a few independent variables? I have given below reproducible example but I am getting the error, Error in seq.int(first_window, last_window, by = batch) :
'to' must be of length 1
library(origami)
library(tidymodels)
# Core Packages
library(tidyverse)
library(lubridate)
library(timetk)
df1 <- Quandl(code = "FRED/PINCOME",
type = "raw",
collapse = "monthly",
order = "asc",
end_date="2017-12-31")
df2 <- Quandl(code = "FRED/GDP",
type = "raw",
collapse = "monthly",
order = "asc",
end_date="2017-12-31")
per <- df1 %>% rename(PI = Value)%>% select(-Date)
gdp <- df2 %>% rename(GDP = Value)
data <- cbind(gdp,per)
data1 <- tk_augment_differences(
.data = data,
.value = GDP:PI,
.lags = 1,
.differences = 1,
.log = TRUE,
.names = "auto") %>%
select(-GDP,-PI) %>%
rename(GDP = GDP_lag1_diff1,PI = PI_lag1_diff1) %>%
drop_na()
horizon <- 15
lag_period <- 15
data_pre_full <- data1 %>%
# Add future window----
bind_rows(
future_frame(.data = .,.date_var = Date, .length_out = horizon)
) %>%
# add lags----
tk_augment_lags(
.value = GDP : PI ,
.lags = lag_period)
data_prepared_tbl <- data_pre_full %>%
filter(!is.na(GDP)) %>%
dplyr::select(-GDP : -PI) %>%
drop_na()
folds <- folds_rolling_origin(
data_prepared_tbl,
first_window = 50, validation_size = 1, gap = 0, batch = 10
)
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