R语言backtest函数

Tsay, Ruey S. 2013. 金融数据分析导论：基于R语言. 机械工业出版社.

来自

https://www.math.pku.edu.cn/teachers/lidf/course/fts/ftsnotes/html/_ftsnotes/fts-modcomp.html#modcomp-bt-func

上面的书是本时间序列的

原始版本：

"backtest" <- function(m1, rt, orig, h, xre=NULL, fixed=NULL, inc.mean=TRUE){
  # m1: is a time-series model object
  # orig: is the starting forecast origin
  # rt: the time series
  # xre: the independent variables
  # h: forecast horizon
  # fixed: parameter constraint
  # inc.mean: flag for constant term of the model.
  #
  regor=c(m1$arma[1],m1$arma[6],m1$arma[2])
  seaor=list(order=c(m1$arma[3],m1$arma[7],m1$arma[4]),period=m1$arma[5])
  T=length(rt)
  if(!is.null(xre) && !is.matrix(xre)) xre=as.matrix(xre)
  ncx=ncol(xre)
  if(orig > T) orig=T
  if(h < 1) h=1
  rmse=rep(0,h)
  mabso=rep(0,h)
  nori=T-orig
  err=matrix(0,nori,h)
  jlast=T-1
  for (n in orig:jlast){
    jcnt=n-orig+1
    x=rt[1:n]
    if (!is.null(xre)){
      pretor=xre[1:n,]
      mm=arima(x,order=regor,seasonal=seaor,xreg=pretor,fixed=fixed,include.mean=inc.mean,transform.pars = FALSE)
      nx=xre[(n+1):(n+h),]
      if(h==1)nx=matrix(nx,1,ncx)
      fore=predict(mm,h,newxreg=nx)
    }
    else {
      mm=arima(x,order=regor,seasonal=seaor,xreg=NULL,fixed=fixed,include.mean=inc.mean)
      fore=predict(mm,h,newxreg=NULL)
    }
    kk=min(T,(n+h))
    # nof is the effective number of forecats at the forecast origin n.
    nof=kk-n
    pred=fore$pred[1:nof]
    obsd=rt[(n+1):kk]
    err[jcnt,1:nof]=obsd-pred
  }
  #
  for (i in 1:h){
    iend=nori-i+1
    tmp=err[1:iend,i]
    mabso[i]=sum(abs(tmp))/iend
    rmse[i]=sqrt(sum(tmp^2)/iend)
  }
  print("RMSE of out-of-sample forecasts")
  print(rmse)
  print("Mean absolute error of out-of-sample forecasts")
  print(mabso)
  backtest <- list(origin=orig,error=err,rmse=rmse,mabso=mabso)
}