1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376
|
#' Add sin and cos terms for harmonic analysis
#'
#' `step_harmonic` creates a *specification* of a recipe step that
#' will add sin and cos terms for harmonic analysis.
#'
#' @inheritParams step_pca
#' @inheritParams step_date
#' @inheritParams step_center
#'
#' @param ... One or more selector functions to choose variables
#' for this step. See [selections()] for more details. This will
#' typically be a single variable.
#' @param frequency A numeric vector with at least one value.
#' The value(s) must be greater than zero and finite.
#' @param cycle_size A numeric vector with at least one value that indicates
#' the size of a single cycle. `cycle_size` should have the same units as the
#' input variable(s).
#' @param starting_val either `NA`, numeric, Date or POSIXt value(s) that indicates
#' the reference point for the sin and cos curves for each input variable.
#' If the value is a `Date` or `POISXt` the value is converted to numeric
#' using `as.numeric`. This parameter may be specified to increase control
#' over the signal phase. If `starting_val` is not specified the default
#' is 0.
#' @template step-return
#' @family individual transformation steps
#' @export
#' @details This step seeks to describe periodic components of observational
#' data using a combination of sin and cos waves. To do this, each wave of a
#' specified frequency is modeled using one sin and one cos term. The two
#' terms for each frequency can then be used to estimate the amplitude and
#' phase shift of a periodic signal in observational data. The equation
#' relating cos waves of known frequency but unknown phase and amplitude to a
#' sum of sin and cos terms is below:
#'
#' \deqn{A_j cos(\sigma_j t_i - \Phi_j) = C_j cos(\sigma_j t_i) + S_j sin(\sigma_j t_i)}
#'
#' Solving the equation yields \eqn{C_j} and \eqn{S_j}. the
#' amplitude can then be obtained with:
#'
#' \deqn{A_j = \sqrt{C^2_j + S^2_j}}
#'
#' And the phase can be obtained with:
#' \deqn{\Phi_j = \arctan{(S_j / C_j)}}
#'
#' where:
#'
#' * \eqn{\sigma_j = 2 \pi (frequency / cycle\_size))}
#' * \eqn{A_j} is the amplitude of the \eqn{j^{th}} frequency
#' * \eqn{\Phi_j} is the phase of the \eqn{j^{th}} frequency
#' * \eqn{C_j} is the coefficient of the cos term for the \eqn{j^{th}} frequency
#' * \eqn{S_j} is the coefficient of the sin term for the \eqn{j^{th}} frequency
#'
#'
#' The periodic component is specified by `frequency` and `cycle_size`
#' parameters. The cycle size relates the specified frequency to the
#' input column(s) units. There are multiple ways to specify a wave of given
#' frequency, for example, a `POSIXct` input column given a `frequency` of
#' 24 and a `cycle_size` equal to 86400 is equivalent to a `frequency` of
#' 1.0 with `cycle_size` equal to 3600.
#'
#' @template case-weights-not-supported
#'
#' @references Doran, H. E., & Quilkey, J. J. (1972).
#' Harmonic analysis of seasonal data: some important properties.
#' American Journal of Agricultural Economics, 54, volume 4, part 1, 646-651.
#'
#' Foreman, M. G. G., & Henry, R. F. (1989).
#' The harmonic analysis of tidal model time series.
#' Advances in water resources, 12(3), 109-120.
#'
#' @examplesIf rlang::is_installed("ggplot2")
#' library(ggplot2, quietly = TRUE)
#' library(dplyr)
#'
#' data(sunspot.year)
#' sunspots <-
#' tibble(
#' year = 1700:1988,
#' n_sunspot = sunspot.year,
#' type = "measured"
#' ) %>%
#' slice(1:75)
#'
#' # sunspots period is around 11 years, sample spacing is one year
#' dat <- recipe(n_sunspot ~ year, data = sunspots) %>%
#' step_harmonic(year, frequency = 1 / 11, cycle_size = 1) %>%
#' prep() %>%
#' bake(new_data = NULL)
#'
#' fit <- lm(n_sunspot ~ year_sin_1 + year_cos_1, data = dat)
#'
#' preds <- tibble(
#' year = sunspots$year,
#' n_sunspot = fit$fitted.values,
#' type = "predicted"
#' )
#'
#' bind_rows(sunspots, preds) %>%
#' ggplot(aes(x = year, y = n_sunspot, color = type)) +
#' geom_line()
#'
#'
#' # ------------------------------------------------------------------------------
#' # POSIXct example
#'
#' date_time <-
#' as.POSIXct(
#' paste0(rep(1959:1997, each = 12), "-", rep(1:12, length(1959:1997)), "-01"),
#' tz = "UTC"
#' )
#'
#' carbon_dioxide <- tibble(
#' date_time = date_time,
#' co2 = as.numeric(co2),
#' type = "measured"
#' )
#'
#' # yearly co2 fluctuations
#' dat <-
#' recipe(co2 ~ date_time,
#' data = carbon_dioxide
#' ) %>%
#' step_mutate(date_time_num = as.numeric(date_time)) %>%
#' step_ns(date_time_num, deg_free = 3) %>%
#' step_harmonic(date_time, frequency = 1, cycle_size = 86400 * 365.24) %>%
#' prep() %>%
#' bake(new_data = NULL)
#'
#' fit <- lm(co2 ~ date_time_num_ns_1 + date_time_num_ns_2 +
#' date_time_num_ns_3 + date_time_sin_1 +
#' date_time_cos_1, data = dat)
#'
#' preds <- tibble(
#' date_time = date_time,
#' co2 = fit$fitted.values,
#' type = "predicted"
#' )
#'
#' bind_rows(carbon_dioxide, preds) %>%
#' ggplot(aes(x = date_time, y = co2, color = type)) +
#' geom_line()
step_harmonic <-
function(recipe,
...,
role = "predictor",
trained = FALSE,
frequency = NA_real_,
cycle_size = NA_real_,
starting_val = NA_real_,
keep_original_cols = FALSE,
columns = NULL,
skip = FALSE,
id = rand_id("harmonic")) {
if (!all(is.numeric(cycle_size)) | all(is.na(cycle_size))) {
rlang::abort("cycle_size must have at least one non-NA numeric value.")
}
if (!all(is.na(starting_val)) &
!all(is.numeric(starting_val)) &
!all(inherits(starting_val, "Date")) &
!all(inherits(starting_val, "POSIXt"))) {
rlang::abort("starting_val must be NA, numeric, Date or POSIXt")
}
add_step(
recipe,
step_harmonic_new(
terms = enquos(...),
trained = trained,
role = role,
frequency = frequency,
cycle_size = cycle_size,
starting_val = starting_val,
keep_original_cols = keep_original_cols,
columns = columns,
skip = skip,
id = id
)
)
}
step_harmonic_new <-
function(terms, role, trained,
frequency, cycle_size,
starting_val, columns,
keep_original_cols, objects, skip, id) {
step(
subclass = "harmonic",
terms = terms,
role = role,
trained = trained,
frequency = frequency,
cycle_size = cycle_size,
starting_val = starting_val,
keep_original_cols = keep_original_cols,
columns = columns,
skip = skip,
id = id
)
}
#' @export
prep.step_harmonic <- function(x, training, info = NULL, ...) {
col_names <- recipes_eval_select(x$terms, training, info)
check_type(training[, col_names], types = c("date", "datetime", "numeric"))
# check cycle_size
if (length(x$cycle_size) == 1) {
cycle_sizes <- rep(x$cycle_size, length(col_names))
} else if (length(x$cycle_size) == length(col_names)) {
cycle_sizes <- x$cycle_size
} else {
rlang::abort(paste0(
"`cycle_size` must be length 1 or the same ",
"length as the input columns"
))
}
# check starting_val
if (all(is.na(x$starting_val))) {
starting_vals <- rep(0.0, length(col_names))
} else if (length(x$starting_val) == 1) {
starting_vals <- rep(as.numeric(x$starting_val), length(col_names))
} else if (length(x$starting_val) == length(col_names)) {
starting_vals <- x$starting_val
} else {
rlang::abort(paste0(
"`starting_val` must be length 1 or the same ",
"length as the input columns"
))
}
frequencies <- sort(unique(na.omit(x$frequency)))
names(frequencies) <- as.character(1:length(frequencies))
names(starting_vals) <- col_names
names(cycle_sizes) <- col_names
step_harmonic_new(
terms = x$terms,
role = x$role,
trained = TRUE,
frequency = frequencies,
cycle_size = cycle_sizes,
starting_val = starting_vals,
keep_original_cols = get_keep_original_cols(x),
columns = col_names,
skip = x$skip,
id = x$id
)
}
sin_cos <- function(x,
frequency,
starting_val,
cycle_size, call = caller_env()) {
if (all(is.na(x))) {
rlang::abort("variable must have at least one non-NA value", call = call)
}
nc <- length(frequency)
nr <- length(x)
# adjust phase
x <- x - as.numeric(starting_val)
# cycles per unit
cycle <- 2.0 * (pi * (x / cycle_size))
m <- matrix(NA_real_,
ncol = nc * 2L,
nrow = nr
)
for (i in seq_along(frequency)) {
m[, i] <- sin(cycle * frequency[i])
m[, i + nc] <- cos(cycle * frequency[i])
}
return(m)
}
#' @export
bake.step_harmonic <- function(object, new_data, ...) {
col_names <- names(object$starting_val)
check_new_data(col_names, object, new_data)
# calculate sin and cos columns
for (i in seq_along(col_names)) {
col_name <- col_names[i]
n_frequency <- length(object$frequency)
res <- sin_cos(
as.numeric(new_data[[col_name]]),
object$frequency,
object$starting_val[i],
object$cycle_size[i]
)
colnames(res) <- paste0(
col_name,
rep(c("_sin_", "_cos_"), each = n_frequency),
1:n_frequency
)
res <- as_tibble(res)
new_data <- bind_cols(new_data, res)
}
keep_original_cols <- get_keep_original_cols(object)
if (!keep_original_cols) {
new_data <-
new_data[, !(colnames(new_data) %in% col_names), drop = FALSE]
}
new_data
}
#' @export
print.step_harmonic <-
function(x, width = max(20, options()$width - 30), ...) {
title <- "Harmonic numeric variables for "
print_step(x$columns, x$terms, x$trained, title, width)
invisible(x)
}
#' @rdname tidy.recipe
#' @export
tidy.step_harmonic <- function(x, ...) {
if (is_trained(x)) {
col_names <- names(x$starting_val)
n_frequency <- length(x$frequency)
n_terms <- length(col_names)
res <-
tibble(
terms = rep(col_names, each = n_frequency * 2L),
starting_val = rep(unname(x$starting_val), each = n_frequency * 2L),
cycle_size = rep(unname(x$cycle_size), each = n_frequency * 2L),
frequency = rep(rep(unname(x$frequency), times = 2L), times = n_terms),
)
res$key <- paste0(
res$terms,
rep(rep(c("_sin_", "_cos_"), each = n_frequency),
times = n_terms
),
res$frequency
)
} else {
term_names <- sel2char(x$terms)
res <- tibble(
terms = term_names,
starting_val = na_dbl,
cycle_size = na_dbl,
frequency = na_dbl,
key = na_chr
)
}
res$id <- x$id
res
}
#' @export
tunable.step_harmonic <- function(x, ...) {
tibble::tibble(
name = "frequency",
call_info = list(
list(pkg = "dials", fun = "harmonic_frequency")
),
source = "recipe",
component = "step_harmonic",
component_id = x$id
)
}
|