# Time Series Analysis with NMF-VAR

## Introduction

This vignette demonstrates how to apply the `nmfkc` package to time series data using the NMF-VAR (Non-negative Matrix Factorization - Vector Autoregression) framework. This approach models the coefficient matrix of NMF as a VAR process (\(B \approx C A_{lag}\)), allowing for both dimensionality reduction and temporal modeling.

Key functions in `nmfkc` such as `nmfkc.ar` and `nmfkc.ar.degree.cv` directly support R’s native `ts` objects, preserving time series properties automatically.

We will cover two scenarios:

1. Univariate AR: Forecasting airline passengers (`AirPassengers`).
2. Multivariate VAR: Analyzing macroeconomic indicators (`Canada`).

First, let’s load the necessary packages.

    library(nmfkc)
    library(vars) # For Canada dataset
    #> Warning: package 'vars' was built under R version 4.4.3
    #> Loading required package: MASS
    #> Warning: package 'MASS' was built under R version 4.4.3
    #> Loading required package: strucchange
    #> Warning: package 'strucchange' was built under R version 4.4.2
    #> Loading required package: zoo
    #> Warning: package 'zoo' was built under R version 4.4.3
    #>
    #> Attaching package: 'zoo'
    #> The following objects are masked from 'package:base':
    #>
    #>     as.Date, as.Date.numeric
    #> Loading required package: sandwich
    #> Warning: package 'sandwich' was built under R version 4.4.2
    #> Loading required package: urca
    #> Warning: package 'urca' was built under R version 4.4.3
    #> Loading required package: lmtest
    #> Warning: package 'lmtest' was built under R version 4.4.2

## Example 1: Univariate Autoregression with AirPassengers

The `AirPassengers` dataset contains monthly international airline passenger numbers. We will model this univariate time series using an autoregressive (AR) model.

### 1. Data Preparation

We simply log-transform the `ts` object to stabilize variance. We do not need to manually convert it to a matrix or create time vectors; `nmfkc` functions handle `ts` objects directly.

    # Load and transform the ts object
    d_air <- AirPassengers
    d_air_log <- log10(d_air) # Still a ts object

### 2. Model Selection (Lag Order)

We use Cross-Validation to find the optimal degree (lag order). By passing the `ts` object `d_air_log`, the function automatically handles the time dimension.

    # Evaluate lag orders from 1 to 14
    # Note: ts objects are automatically transposed to (Variables x Time) internally
    cv_res <- nmfkc.ar.degree.cv(d_air_log, rank = 1, degree = 1:14, epsilon=1e-6, maxit=500000)
    #> degree=1...0.3sec
    #> degree=2...0.8sec
    #> degree=3...0.9sec
    #> degree=4...0.9sec
    #> degree=5...0.9sec
    #> degree=6...0.9sec
    #> degree=7...0.8sec
    #> degree=8...0.9sec
    #> degree=9...1sec
    #> degree=10...1sec
    #> degree=11...1sec
    #> degree=12...0.9sec
    #> degree=13...1sec
    #> degree=14...1.1sec

    # Check the optimal degree
    cv_res$degree
    #> [1] 12

    # For this example, we will proceed with D=12 (capturing monthly seasonality)
    D <- 12

### 3. Model Fitting

We construct the observation matrix `Y` and covariate matrix `A` (lagged Y) using `nmfkc.ar()`. The returned matrices `Y` and `A` will have time-based column names derived from the `ts` object.

    # Create matrices for the AR(12) model
    a_air <- nmfkc.ar(d_air_log, degree = D, intercept = TRUE)

    # Fit the NMF-AR model (Rank=1 for univariate)
    res_air <- nmfkc(Y = a_air$Y, A = a_air$A, rank = 1, epsilon = 1e-6, maxit=500000)
    #> Y(1,132)~X(1,1)C(1,13)A(13,132)=XB(1,132)...0.2sec

    # Check goodness of fit
    res_air$r.squared
    #> [1] 0.9798257

    # Check for stationarity (spectral radius < 1)
    nmfkc.ar.stationarity(res_air)
    #> $spectral.radius
    #> [1] 0.9983758
    #>
    #> $stationary
    #> [1] TRUE

### 4. Forecasting

We can forecast future values using the fitted model. `nmfkc.ar.predict` uses the time properties stored in the model to generate the correct future time sequence.

    # Forecast next 2 years (24 months)
    h <- 24
    pred_res <- nmfkc.ar.predict(x = res_air, Y = a_air$Y, n.ahead = h)

    # Convert predictions back to original scale
    pred_val <- 10^as.vector(pred_res$pred)
    pred_time <- pred_res$time # Future time points generated by the function

    # --- Plotting ---
    # Setup plot range
    xlim_range <- range(c(time(d_air), pred_time))
    ylim_range <- range(c(d_air, pred_val))

    # 1. Observed data (Black)
    plot(d_air, type = "l", col = "black",
         xlim = xlim_range, ylim = ylim_range, lwd = 1,
         xlab = "Year", ylab = "Air Passengers", main = "NMF-VAR Forecast (h=24)")

    # 2. Fitted values during training (Red)
    # a_air$Y has column names as time strings; we parse them for plotting
    fitted_time <- as.numeric(colnames(res_air$XB))
    lines(fitted_time, 10^as.vector(res_air$XB), col = "red", lwd = 2)

    # 3. Forecast (Blue)
    # Connect the last observed point to the first forecast for a continuous line
    last_t <- tail(as.numeric(time(d_air)), 1)
    last_y <- tail(as.vector(d_air), 1)
    lines(c(last_t, pred_time), c(last_y, pred_val), col = "blue", lwd = 2, lty = 2)

    # Add legend
    legend("topleft", legend = c("Observed", "Fitted", "Forecast"),
           col = c("black", "red", "blue"), lty = c(1, 1, 2), lwd = 2)

## Example 2: Vector Autoregression with Canada Dataset

The `Canada` dataset contains four quarterly macroeconomic variables. We’ll use a multivariate NMF-VAR model to analyze the relationship between these variables.

### 1. Data Preparation

We take the first difference to achieve stationarity, normalize the data to \([0, 1]\), and transpose it to the `Variables x Time` format required by NMF.

    # Load, difference, and normalize
    d0_canada <- Canada
    dd_canada <- apply(d0_canada, 2, diff) # Returns a matrix (Time x Vars)
    dn_canada <- nmfkc.normalize(dd_canada)

    # Transpose to (Variables x Time) for NMF
    Y0_canada <- t(dn_canada)

    # Create matrices for VAR(1)
    a_canada <- nmfkc.ar(Y0_canada, degree = 1, intercept = TRUE)

### 2. Model Fitting

We fit a model with `rank = 2` to identify two latent economic conditions driving the four variables.

    # Fit the NMF-VAR model
    res_canada <- nmfkc(Y = a_canada$Y, A = a_canada$A, rank = 2, prefix = "Condition", epsilon = 1e-6)
    #> Y(4,82)~X(4,2)C(2,5)A(5,82)=XB(2,82)...0sec

    # R-squared and Stationarity
    res_canada$r.squared
    #> [1] 0.5994663
    nmfkc.ar.stationarity(res_canada)
    #> $spectral.radius
    #> [1] 0.7781102
    #>
    #> $stationary
    #> [1] TRUE

### 3. Latent Structure & Causal Graph

We can visualize how the two latent conditions change over time.

    # Visualize soft clustering of time trends
    barplot(res_canada$B.prob, col = c(2, 3), border = NA,
            main = "Soft Clustering of Economic Conditions",
            xlab = "Time", ylab = "Probability",
            names.arg = colnames(a_canada$Y), las=2, cex.names = 0.5)
    legend("topright", legend = colnames(res_canada$X), fill = c(2, 3), bg = "white")

Finally, we can generate a DOT script to visualize the Granger causality (relationships) between variables inferred by the model.

    # Generate DOT script for graph visualization
    dot_script <- nmfkc.ar.DOT(res_canada, intercept = TRUE, threshold=0.01)

    # plot(dot_script)  # requires DiagrammeR