From e779144cbcd308940abb4cb3ac646e2fa8a68984 Mon Sep 17 00:00:00 2001
From: Guilherme Bodin <32756941+guilhermebodin@users.noreply.github.com>
Date: Sun, 21 Mar 2021 22:32:34 -0300
Subject: [PATCH] Fix backtest (#136)

* Update diagnostics and bump version

* Fix backtest

* add visualization forecast test
---
 Project.toml                  |  2 +-
 src/backtest.jl               |  8 +++---
 src/visualization/forecast.jl | 47 ++++++++++++++++++++++++++++++++++-
 test/test_visualization.jl    |  7 ++++++
 4 files changed, 59 insertions(+), 5 deletions(-)

diff --git a/Project.toml b/Project.toml
index efd4519..b1d8435 100644
--- a/Project.toml
+++ b/Project.toml
@@ -1,7 +1,7 @@
 name = "ScoreDrivenModels"
 uuid = "4a87933e-d659-11e9-0e65-7f40dedd4a3a"
 authors = ["guilhermebodin <guilherme.b.moraes@gmail.com>, raphaelsaavedra <raphael.saavedra93@gmail.com>"]
-version = "0.1.8"
+version = "0.1.9"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
diff --git a/src/backtest.jl b/src/backtest.jl
index f81b4a5..728cd5f 100644
--- a/src/backtest.jl
+++ b/src/backtest.jl
@@ -40,7 +40,7 @@ TODO
 """
 function backtest(gas::Model{<:Distribution, T}, y::Vector{T}, steps_ahead::Int, start_idx::Int;
                   S::Int = 10_000,
-                  initial_params::Matrix{T} = stationary_initial_params(gas),
+                  initial_params::Matrix{T} = DEFAULT_INITIAL_PARAM,
                   opt_method = NelderMead(gas, DEFAULT_NUM_SEEDS)) where T
     num_mle = length(y) - start_idx - steps_ahead
     b = Backtest(num_mle, steps_ahead)
@@ -49,8 +49,10 @@ function backtest(gas::Model{<:Distribution, T}, y::Vector{T}, steps_ahead::Int,
         gas_to_fit = deepcopy(gas)
         y_to_fit = y[1:start_idx - 1 + i]
         y_to_verify = y[start_idx + i:start_idx - 1 + i + steps_ahead]
-        ScoreDrivenModels.fit!(gas_to_fit, y_to_fit; initial_params=initial_params, opt_method=opt_method)
-        forec = forecast(y_to_fit, gas_to_fit, steps_ahead; S=S, initial_params=initial_params)
+        fit!(gas_to_fit, y_to_fit; initial_params=initial_params, opt_method=opt_method)
+        forec = initial_params !== DEFAULT_INITIAL_PARAM ? 
+                    forecast(y_to_fit, gas_to_fit, steps_ahead; S=S, initial_params=initial_params) :
+                    forecast(y_to_fit, gas_to_fit, steps_ahead; S=S)
         abs_errors = evaluate_abs_error(y_to_verify, forec.observation_forecast)
         crps_scores = evaluate_crps(y_to_verify, forec.observation_scenarios)
         b.abs_errors[:, i] = abs_errors
diff --git a/src/visualization/forecast.jl b/src/visualization/forecast.jl
index 503fa1d..98b72f5 100644
--- a/src/visualization/forecast.jl
+++ b/src/visualization/forecast.jl
@@ -1 +1,46 @@
-#TODO
\ No newline at end of file
+RecipesBase.@recipe function f(y::Vector, forec::Forecast)
+    n = length(y)
+    steps_ahead = length(forec.observation_forecast)
+    forec_idx = collect(n + 1: n + steps_ahead)
+    fillrange_color = :steelblue
+    # Plot the series
+    @series begin
+        seriestype := :path
+        seriescolor := "black"
+        return y
+    end
+    # Plot the forecast
+    @series begin
+        seriescolor := "blue"
+        return forec_idx, forec.observation_forecast
+    end
+    # Plot the prediction interval
+    q975 = Vector{Float64}(undef, steps_ahead)
+    q025 = Vector{Float64}(undef, steps_ahead)
+    q900 = Vector{Float64}(undef, steps_ahead)
+    q100 = Vector{Float64}(undef, steps_ahead)
+    for i in 1:steps_ahead
+        q975[i] = quantile(forec.observation_scenarios[i, :], 0.975)
+        q025[i] = quantile(forec.observation_scenarios[i, :], 0.025)
+        q900[i] = quantile(forec.observation_scenarios[i, :], 0.9)
+        q100[i] = quantile(forec.observation_scenarios[i, :], 0.1)
+    end
+    @series begin
+        seriestype := :path
+        seriescolor := fillrange_color
+        fillcolor := fillrange_color
+        fillalpha := 0.5
+        fillrange := q975
+        label := ""
+        return forec_idx, q025
+    end
+    @series begin
+        seriestype := :path
+        seriescolor := fillrange_color
+        fillcolor := fillrange_color
+        fillalpha := 0.5
+        fillrange := q900
+        label := ""
+        return forec_idx, q100
+    end
+end
diff --git a/test/test_visualization.jl b/test/test_visualization.jl
index 12beeb5..5cae069 100644
--- a/test/test_visualization.jl
+++ b/test/test_visualization.jl
@@ -16,4 +16,11 @@
     bac = backtest(gas, simulation, 10, 4985)
     rec = RecipesBase.apply_recipe(Dict{Symbol, Any}(), bac, "name")
     @test length(rec) == 2
+
+    simulation = simulate_GAS_1_1(Normal, 0.0, ω, A, B, 1)
+    gas = ScoreDrivenModels.Model(1, 1, Normal, 0.0)
+    fit!(gas, simulation)
+    forec = forecast(simulation, gas, 50)
+    rec = RecipesBase.apply_recipe(Dict{Symbol, Any}(), simulation, forec)
+    @test length(rec) == 4
 end
\ No newline at end of file