tsdataleaks

R Package for detecting data leakages in time series forecasting competitions.

Installation

The development version from GitHub with:

# install.packages("devtools")
devtools::install_github("thiyangt/tsdataleaks")
library(tsdataleaks)

Example

To demonstrate the package functions, I created a small data set with 4 time series.

set.seed(2020)
a <- rnorm(15)
d <- rnorm(10)
lst <- list(
  a = a,
  b = c(a[10:15]+rep(8,6), rnorm(10), a[1:5], a[1:5]),
  c = c(rnorm(10), a[1:5]),
  d = d,
  e = d)

find_dataleaks: Exploit data leaks

library(tsdataleaks)
library(magrittr)
library(tidyverse)
library(viridis)
# h - I assume test period length is 5 and took that as wind size, h.
f1 <- find_dataleaks(lstx = lst, h=5, cutoff=1) 
f1
$a
  .id start end
2   b     2   6

$b
  .id start end
1   a     1   5
2   b    17  21
4   c    11  15

$c
  .id start end
1   a     1   5
2   b    17  21
3   b    22  26

$d
  .id start end
5   e     6  10

$e
  .id start end
4   d     6  10

Interpretation: The first element in the list means the last 5 observations of the time series a correlates with time series b observarion from 2 to 6.

viz_dataleaks: Visualise the data leaks

viz_dataleaks(f1)
[[1]]

[[2]]
[[2]]$a
  .id start end
2   b     2   6

[[2]]$b
  .id start end
1   a     1   5
2   b    17  21
4   c    11  15

[[2]]$c
  .id start end
1   a     1   5
2   b    17  21
3   b    22  26

[[2]]$d
  .id start end
5   e     6  10

[[2]]$e
  .id start end
4   d     6  10

reason_dataleaks

Display the reasons for data leaks and evaluate usefulness of data leaks towards the winning of the competition

r1 <- reason_dataleaks(lstx = lst, finddataleaksout = f1, h=5)
r1
[[1]]
  series1 .id start end dist_mean dist_sd is.useful.leak       reason
1       a   b     2   6        -8       0         useful add constant
2       b   a     1   5         0       0         useful  exact match
3       b   b    17  21         0       0         useful  exact match
4       b   c    11  15         0       0     not useful  exact match
5       c   a     1   5         0       0         useful  exact match
6       c   b    17  21         0       0         useful  exact match
7       c   b    22  26         0       0     not useful  exact match
8       d   e     6  10         0       0     not useful  exact match
9       e   d     6  10         0       0     not useful  exact match

[[2]]