flap

install.packages("flap")

# install.packages("remotes")
remotes::install_github("FinYang/flap")

## The following pacakges are required to run this example
# install.packages("tidyr")
# install.packages("ggplot2")
# install.packages("forecast")
# install.packages("fpp2")

library(flap)
library(tidyr)
library(ggplot2)

# Obtain the forecast and the residual of the original series
mdl <- apply(fpp2::visnights, 2, forecast::ets)
#> Registered S3 method overwritten by 'quantmod':
#>   method            from
#>   as.zoo.data.frame zoo
fc <- vapply(mdl, function(mdl) forecast::forecast(mdl, h=12)$mean, 
             FUN.VALUE = numeric(12))
res <- vapply(mdl, residuals, 
              FUN.VALUE = numeric(nrow(fpp2::visnights)))

# Obtain components and their forecasts and residuals
pca <- stats::prcomp(fpp2::visnights, center = FALSE, scale. = FALSE)
mdl_comp <- apply(pca$x, 2, forecast::ets)
fc_comp <- vapply(mdl_comp, function(mdl) forecast::forecast(mdl, h=12)$mean, 
                  FUN.VALUE = numeric(12))
res_comp <- vapply(mdl_comp, residuals, 
                   FUN.VALUE = numeric(nrow(pca$x)))
Phi <- t(pca$rotation)

# flap!
proj_fc <- flap(fc, fc_comp, Phi, res, res_comp)
proj_fc
#> Forecast Linear Augmented Projection
#> A named list of numeric matrices of projected forecasts
#> ------------
#>  Num. of Series:            m = 20
#>  Num. of Components:        p = 1-20
#>  Num. of Forecast Horizons: 12
#> ------------
#> List of 20
#>  $ 1 : num [1:12, 1:20] 7.8 7.91 ...
#>  $ 2 : num [1:12, 1:20] 7.64 7.76 ...
#>  $ 3 : num [1:12, 1:20] 7.64 7.78 ...
#>  $ 4 : num [1:12, 1:20] 7.39 7.48 ...
#>  $ 5 : num [1:12, 1:20] 7.39 7.49 ...
#>   [list output truncated]

# Plot
if(interactive()) {
  proj_fc %>% 
    as.data.frame() %>% 
    pivot_longer(!c(h, p)) %>% 
    ggplot(aes(x = h, y = value, colour = p, group = p)) +
    geom_line() +
    facet_wrap("name", scales = "free_y")
}