MAPA package for R on GitHub

By | October 24, 2016

Here is the link:

It has been a long time I wanted to rework the MAPA package for R, but I could not find the time. Finally I got around starting it. There are three objectives in this:

  1. Clean up code and introduce S3methods. MAPA was the first package that I wrote!
  2. Incorporate the es exponential smoothing implementation from the smooth package. This is an alternative to ets that will remain as the default. It allows longer seasonal cycles and some additional customisation in the specification of the exponential smoothing models.
  3. Implement MAPAx that permits introducting exogenous variables to MAPA.

Tidying up the code is an ever-ongoing process, so (1) will never finish! I have already sorted (2) out and the next task is to work on (3). You can grab the development version on GitHub. At the time of writing you will need the development version of smooth for this to work, on which Ivan has been ironing out a few peculiar bugs that MAPA brought to surface. You will be amazed how much temporal aggregation can mess up otherwise stable code!

Here is a sneak peak of things you could not do with MAPA before:

mapafit <- mapaest(taylor,ppy=336,type="es")

Fig. 1: Look at all these aggregation levels!

The new argument is type="es" that lets MAPA know what exponential smoothing implementation to use. Once the estimation is done we can use this to forecast as usual.


Fig. 2: MAPA for high frequency data!

So finally we can now easily use MAPA for series with seasonality more than 24 periods! You may have observed that I am using a different combination of the temporal aggregation states: wght. This is still experimental, so use it at your own risk! I would still recommend using either median or mean.

Another nice feature that the es implementation offers is more flexibility in specifying models. Before we could use the model="ZZZ" to let ets select the best model for each aggregation level. Now we can use the letters X and Y to restrict the search to only additive orĀ  multiplicative options (including N) respectively. So for example we could set model="ZXA" to have MAPA look for exponential smoothing models with any type of error, trend that can be none, additive or damped additive and additive seasonality.

Which of ets or es is most accurate to use with MAPA? This is a difficult question to answer. In different examples I tried, I got different results, but there are a few things I can point out. ets from the forecast package by default does not allow multiplicative trends. This was done as using only additive trends seems to work better for ets. This is not the case for es that considers all possible trends. In the current MAPA implementation you can use the argument allow.multiplicative.trend=TRUE to make ets consider all trends. Similarly, with es you can use model="ZXZ" to restrict it to additive trends. On the M3 dataset, once the specification is identical (only additive trends) es based MAPA performs about 5% worse than ets based MAPA, which is fairly small difference, with no evidence of statistically significant differences. So my recommendation is as follows: MAPA with ets works fine and is the default core, but if the additional flexibility of es is needed, feel confident in using it!

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