MedianSmoothR(Input: ITimeSeries;
Period: IMsPeriod;
[WindowSize: Integer = 5];
[Casewise: MsCasewise = 0]): Variant;
MedianSmoothR(Input: Prognoz.Platform.Interop.Ms.ITimeSeries;
Period: Prognoz.Platform.Interop.Ms.IMsPeriod;
WindowSize: integer;
Casewise: Prognoz.Platform.Interop.Ms.MsCasewise;
Context: Prognoz.Platform.Interop.Fore.ForeRuntimeContext): object;
Input. Output variable.
Period. Period, at which the method is calculated. If the parameter is set to Null, the method is calculated at the entire time period.
WindowSize. Window size. The value must be odd.
Casewise. Missing data treatment method.
Context. Context. The parameter is used only in Fore.NET.
The MedianSmoothR method applies median smoothing to a variable using the R package.
The main advantage of median smoothing is its robustness to outliers.
Integration with R must be set up in the repository to use this method. For details about integration setup see the How to Set Up Integration with R? section.
Executing the example requires that the repository contains a modeling container with the MS identifier. A model with the MODEL_D identifier calculated by the method of determinate equation and containing at least one input variable must be available in this container.
Integration with R must be set up in the repository. For details about integration setup see the How to Set Up Integration with R? section.
Add links to the Metabase, Ms system assemblies.
Sub ProcMedianSmoothR;
Var
Mb: IMetabase;
ModelSpace, ModelObj: IMetabaseObject;
Transf: IMsFormulaTransform;
Formula: IMsFormula;
Model: IMsModel;
Determ: IMsDeterministicTransform;
TransVar: IMsFormulaTransformVariable;
Slice: IMsFormulaTransformSlice;
TermInfo: IMsFormulaTermInfo;
Expr: IExpression;
Begin
// Get repository
Mb := MetabaseClass.Active;
// Get modeling container
ModelSpace := Mb.ItemById("MS").Bind;
// Get model
ModelObj := Mb.ItemByIdNamespace("MODEL_D", ModelSpace.Key).Edit;
Model := ModelObj As IMsModel;
// Get model calculation parameters
Transf := Model.Transform;
Formula := Transf.FormulaItem(0);
Determ := Formula.Method As IMsDeterministicTransform;
// Get the first input variable
TransVar := Transf.Inputs.Item(0);
Slice := TransVar.Slices.Item(0);
TermInfo := Transf.CreateTermInfo;
TermInfo.Slice := Slice;
// Set mode of passing variable into calculation
TermInfo.Type := MsFormulaTermType.Pointwise;
// Get model calculation expression
Expr := Determ.Expression;
Expr.References := "Ms";
// Set model calculation expression
Expr.AsString := "MedianSmoothR(" + TermInfo.TermInnerText + ", SetPeriod(" +
"""" + "01.01.2000" + """" + "," + """" + "01.01.2015" + """" + "), 7, MsCasewise.Yes)";
// Check if the expression is correct
If Expr.Valid
// If the expression is set correctly, save the model
Then ModelObj.Save;
// If the expression is incorrect, display a message to the console window
Else Debug.WriteLine("Model is not saved: error in the formula");
End If;
End Sub ProcMedianSmoothR;
After executing the example the model transforms data of the first input variable using the median smoothing method at the period of 2000-2015. The Casewise method is applied for missing data treatment. Calculation is executed using the R package.
The requirements and result of the Fore.NET example execution match with those in the Fore example.
Imports Prognoz.Platform.Interop.Ms;
Imports Prognoz.Platform.Interop.ForeSystem;
…
Public Shared Sub Main(Params: StartParams);
Var
Mb: IMetabase;
ModelSpace, ModelObj: IMetabaseObject;
Transf: IMsFormulaTransform;
Formula: IMsFormula;
Model: IMsModel;
Determ: IMsDeterministicTransform;
TransVar: IMsFormulaTransformVariable;
Slice: IMsFormulaTransformSlice;
TermInfo: IMsFormulaTermInfo;
Expr: IExpression;
Begin
// Get repository
Mb := Params.Metabase;
// Get modeling container
ModelSpace := Mb.ItemById["MS"].Bind();
// Get model
ModelObj := Mb.ItemByIdNamespace["MODEL_D", ModelSpace.Key].Edit();
Model := ModelObj As IMsModel;
// Get model calculation parameters
Transf := Model.Transform;
Formula := Transf.FormulaItem[0];
Determ := Formula.Method As IMsDeterministicTransform;
// Get the first input variable
TransVar := Transf.Inputs.Item[0];
Slice := TransVar.Slices.Item[0];
TermInfo := Transf.CreateTermInfo();
TermInfo.Slice := Slice;
// Set mode of passing variable into calculation
TermInfo.Type := MsFormulaTermType.mfttPointwise;
// Get model calculation expression
Expr := Determ.Expression;
Expr.References := "Ms";
// Set model calculation expression
Expr.AsString := "MedianSmoothR(" + TermInfo.TermInnerText + ", SetPeriod(" +
"""" + "01.01.2000" + """" + "," + """" + "01.01.2015" + """" + "), 7, MsCasewise.Yes)";
// Check if the expression is correct
If Expr.Valid
// If the expression is set correctly, save the model
Then ModelObj.Save();
// If the expression is incorrect, display a message to the console window
Else System.Diagnostics.Debug.WriteLine("Model is not saved: error in the formula");
End If;
End Sub;
Expression 1:
MedianSmoothR({Chicago - population[t]}, SetPeriod("01.01.2000", "01.01.2015"), 9, MsCasewise.Yes)
Result: median smoothing using the R package at the period 2000-2015 is applied to the Chicago - population time series. Window size is set to nine, missing data is treated using the Casewise method.
Use: it can be used in formulas of calculated series of time series database and model formulas of modeling container that is a child of the time series database.
Expression 2:
MedianSmoothR(X1, SetPeriod("01.01.2005", "01.01.2015"), 3, MsCasewise.Yes)
Result: median smoothing using the R package is applied to the X1 factor, window size is three. The calculation is applied at the period of 2005-2015 by the Casewise missing data treatment method.
Use: it can be used in model formulas of modeling container.
See also:
IModelling | The Calculation Method Median Smoothing | Time Series Database: Calculator | Modeling Container: Editing Regressor or Formula