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performance_estimation's Introduction

Performance Estimation

This repo contains the code and datasets used for the experiments carried out in the context of the following paper:

Cerqueira, Vitor, Luis Torgo, and Igor Mozetič. "Evaluating time series forecasting models: An empirical study on performance estimation methods." Machine Learning 109.11 (2020): 1997-2028.

Issues

The script perfestimation-synthetic.r is only ran for a specific (dataset, algorithm) pair. You need to change those to get the results for a different pair.

Contact

For any suggestion or comment on the repo please contact me at [email protected]

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performance_estimation's Issues

Missing data

Hello,

I could not find some of the datasets that you load in your code.

In particular, I'm looking at your synthetic datasets (I didn't check if there were issues with the RWTS).

In result-analysis-synthetic.r, you have:

load("final_results_synthetic_ts1_lasso.rdata")
load("final_results_synthetic_ts2_lasso.rdata")
load("final_results_synthetic_ts3_lasso.rdata")
load("final_results_synthetic_ts1_rbr.rdata")
load("final_results_synthetic_ts2_rbr.rdata")
load("final_results_synthetic_ts3_rbr.rdata")
load("final_results_synthetic_ts1_rf.rdata")
load("final_results_synthetic_ts2_rf.rdata")
load("final_results_synthetic_ts3_rf.rdata")

Out of those, I could only find the code for the creation on the last one ("final_results_synthetic_ts3_rbr.rdata"). The code that creates this dataset is the perfestimation-synthetic.r.

Using this file, if I want to obtain the remaining datasets (for instance, those related to TS1), should I just change
embedded_time_series <- synthetic$TS3 to embedded_time_series <- synthetic$TS1
and the argument for predictive_algorithm inside the function workflow ("rf", "rbr", and "lasso")?

Thanks.

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