# Historical Forecast

    library(nixtlar)

## 1. TimeGPT Historical Forecast

When generating a forecast, sometimes you might be interested in forecasting the historical observations. These predictions, known as fitted values, can help you better understand and evaluate a model’s performance over time.

`TimeGPT` has a method for generating fitted values, and users can call it from `nixtlar`. This vignette will explain how to do this. It assumes you have already set up your API key. If you haven’t done this, please read the Get Started vignette first.

## 2. Load data

For this vignette, we’ll use the electricity consumption dataset that is included in `nixtlar`, which contains the hourly prices of five different electricity markets.

    df <- nixtlar::electricity
    head(df)
    #>   unique_id                  ds     y
    #> 1        BE 2016-10-22 00:00:00 70.00
    #> 2        BE 2016-10-22 01:00:00 37.10
    #> 3        BE 2016-10-22 02:00:00 37.10
    #> 4        BE 2016-10-22 03:00:00 44.75
    #> 5        BE 2016-10-22 04:00:00 37.10
    #> 6        BE 2016-10-22 05:00:00 35.61

## 3. Forecast historical data

To generate a forecast for the historical data, use `nixtlar::nixtla_client_historic`, which should include the following parameters:

- df: The time series data, either as a data frame, a tibble, or a tsibble. It should include at least a column with the datestamps and a column with the observations. Default names for these columns are `ds` and `y`. If different, please specify their names. If working with multiple series, you also need to include a column with unique identifiers. The default name for this column is `unique_id`.
- level: The prediction intervals for the forecast.

    nixtla_client_fitted_values <- nixtla_client_historic(df, level = c(80,95))
    #> Frequency chosen: h
    head(nixtla_client_fitted_values)
    #>                    ds  TimeGPT TimeGPT-lo-80 TimeGPT-lo-95 TimeGPT-hi-80
    #> 1 2016-10-27 00:00:00 56.07623      25.27245      8.965920      86.88000
    #> 2 2016-10-27 01:00:00 52.41973      21.61596      5.309425      83.22350
    #> 3 2016-10-27 02:00:00 52.81474      22.01096      5.704433      83.61852
    #> 4 2016-10-27 03:00:00 52.59026      21.78649      5.479953      83.39404
    #> 5 2016-10-27 04:00:00 52.67297      21.86920      5.562667      83.47675
    #> 6 2016-10-27 05:00:00 54.10659      23.30282      6.996284      84.91036
    #>   TimeGPT-hi-95
    #> 1     103.18653
    #> 2      99.53004
    #> 3      99.92505
    #> 4      99.70057
    #> 5      99.78328
    #> 6     101.21690

Notice that there are no fitted values for some of the initial observations. This is because `TimeGPT` requires a minimum number of values to generate reliable forecasts.

All the fitted values are generated using a rolling window, meaning that the fitted value for observation \(T\) is generated using the first \(T-1\) observations.

### 3.1 Fitted values from `nixtlar::nixtla_client_forecast`

`nixtlar::nixtla_client_historic` is the dedicated function that calls `TimeGPT`’s method for generating fitted values. However, you can also use `nixtlar::nixtla_client_forecast` with `add_history=TRUE`. This will generate both a forecast for the historical data and for the next \(h\) future observations.