Fix OneStepAhead RCPP prediction.

manuhuth · Dec 4, 2024 · e2263cf · e2263cf
1 parent e531d05
commit e2263cf
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Showing 5 changed files with 16 additions and 7 deletions.
diff --git a/NAMESPACE b/NAMESPACE
@@ -26,6 +26,7 @@ export(cocoReg)
 export(cocoResid)
 export(cocoScore)
 export(cocoSim)
+export(cocoSim_cov)
 export(cocoSoc)
 export(dGP1)
 export(installJuliaPackages)

diff --git a/R/cocoForecastKStepsRCPP.R b/R/cocoForecastKStepsRCPP.R
@@ -6,15 +6,22 @@ cocoForecastKStepsRCPP <- function(fit, k=1, number_simulations=500, covariates=
   }
 
   run_sim <- function(i){ 
-    output <- cocoSim(type = fit$type, order = fit$order, par = fit$par, length =  k+length(init),
-            xreg = covariates,
-            julia=FALSE, link_function=fit$link_function)
+    #cannot be cocosim as the init argument is not available in cocoSim
+    if (!is.null(covariates)){
+      output <- cocoSim_cov(fit$type, order = fit$order, par = fit$par, 
+                          size= k+length(init), xreg = covariates, 
+                          seasonality = c(1, 2), init = init, link_function=fit$link_function)$data
+    } else {
+      output <- cocoSim_base(fit$type, order = fit$order, par = fit$par, 
+                            size= k+length(init),
+                            seasonality = c(1, 2), init = init)$data
+    }
   }
 
   if (k > 1) {
     out_matrix <- t(sapply(1:number_simulations, run_sim))
   } else if (k==1){
-    out_matrix <- as.matrix(sapply(1:number_simulations, run_sim)[1, ])
+    out_matrix <- matrix(sapply(1:number_simulations, run_sim), ncol=1)
   }
 
   freq_table <- function(i){

diff --git a/R/cocoForecastOneStep.R b/R/cocoForecastOneStep.R
@@ -19,7 +19,7 @@ cocoForecastOneStep <- function(coco, max=NULL, epsilon=1e-12, xcast=NULL,
 
   if (!is.null(coco$julia_reg) & julia){
     addJuliaFunctions()
-    if ((k == 1) & (is.matrix(xcast))) {
+    if ((is.matrix(xcast))) {
       xcast <- c(xcast)
     }
     coco_forecast <- JuliaConnectoR::juliaGet( JuliaConnectoR::juliaCall("cocoPredictOneStep",

diff --git a/R/cocoSim_cov.R b/R/cocoSim_cov.R
@@ -1,3 +1,4 @@
+#' @export
 cocoSim_cov <- function(type, order, par, size, xreg, seasonality = c(1, 2), init = NULL, link_function="log") {
 
   if (length(seasonality == 1)) {

diff --git a/src/cfunctions.cpp b/src/cfunctions.cpp
@@ -479,7 +479,7 @@ std::vector<int> simGP1cov(double sumlimit, double alpha, double eta,
     int y = data[t-seas-1];
 
     NumericVector covar = xreg(t-1-N,_);
-    double mathelp = innerProduct(covar,lambdas);
+    double mathelp = innerProduct(covar, lambdas);
     // Apply the link function
     lambda = applyLinkFunction(mathelp, link_function);
     double psi = eta*(1-alpha)/lambda;
@@ -494,7 +494,7 @@ std::vector<int> simGP1cov(double sumlimit, double alpha, double eta,
       r = r+1;
 
     } //end r
-    data[t-1] = r-1 + innovations[t-1];
+    data[t-1] = r-1 + innovations[t-N-1];
 
   } // end tasdsa