Method ambiguity for lead/lag terms

[just-cameron]

I'm getting a method error on schema application when using a lead/lag term. I didn't think this was a GLM thing, but I'm happy to move this over there if it is a GLM thing.

EDIT: I slimmed the MWE down even more.

MWE:

using DataFrames, StatsModels, GLM

df = DataFrame(a = randn(10), b=randn(10))
f = @formula(a ~ 1 + lag(b, 1))
fitted = lm(f, df)

Error:

ERROR: MethodError: StatsModels.apply_schema(::FunctionTerm{typeof(lag),getfield(Main, Symbol("##383#384")),(:b,)}, ::StatsModels.FullRank, ::Type{LinearModel}) is ambiguous. Candidates:
  apply_schema(t::AbstractTerm, schema::StatsModels.FullRank, Mod::Type) in StatsModels at /home/cameron/.julia/packages/StatsModels/G9zlM/src/schema.jl:313
  apply_schema(t::FunctionTerm{F,Fanon,Names} where Names where Fanon, sch, ctx::Type) where F<:Union{typeof(lag), typeof(lead)} in StatsModels at /home/cameron/.julia/packages/StatsModels/G9zlM/src/temporal_terms.jl:30
Possible fix, define
  apply_schema(::FunctionTerm{F<:Union{typeof(lag), typeof(lead)},Fanon,Names} where Names where Fanon, ::StatsModels.FullRank, ::Type)
Stacktrace:
 [1] _broadcast_getindex_evalf(::typeof(apply_schema), ::FunctionTerm{typeof(lag),getfield(Main, Symbol("##383#384")),(:b,)}, ::StatsModels.FullRank, ::Type) at ./broadcast.jl:578
 [2] _broadcast_getindex at ./broadcast.jl:551 [inlined]
 [3] (::getfield(Base.Broadcast, Symbol("##19#20")){Base.Broadcast.Broadcasted{Base.Broadcast.Style{Tuple},Nothing,typeof(apply_schema),Tuple{Tuple{ConstantTerm{Int64},FunctionTerm{typeof(lag),getfield(Main, Symbol("##383#384")),(:b,)}},Base.RefValue{StatsModels.FullRank},Base.RefValue{Type{LinearModel}}}}})(::Int64) at ./broadcast.jl:953
 [4] ntuple at ./tuple.jl:160 [inlined]

[kleinschmidt]

Bummer. These come up more than I'd like :(

[kleinschmidt]

So #152 fixes the method ambiguity but there's another problem which is that GLM expects a model matrix that has no missings so your MWE still raises an error. I'm not quite sure what the best way of handling this is. Do you have any ideas @oxinabox ?

[just-cameron]

I think that might be a GLM issue though, it should probably have some ability to handle matrices with missing values.

[oxinabox]

I feel like we do need a way with getting rid of missings.

Possibly via Impute.jl

It is reasonable to have missings in data and for things like lead and lag to introduce more of them.

It is also reasonable for GLM to not accept them.

[kleinschmidt]

It would be cool if we could figure out a way to provide what ModelFrame used to provide (a mask of which rows in the underlying data frame the model matrix corresponds to) in this new framework. Maybe some notion of pre- and post- transformers that the terms could provide. Then you'd go through and pull out all the transformers, and terms like lead and lag could say "okay drop these rows from the output because they are undefined" in a way that the modeling consumer could take or leave. Because it's important I think in most workflows to know which bits of the model matrix correspond to which bits of the underlying data.

[kleinschmidt]

I think maybe MLJ has some kind of system for representing these transforms?

[greimel]

Is there an issue open about lead/lag not working with GLM.jl due to the introduction of missings?

[kleinschmidt]

There is in GLM.jl, it's JuliaStats/GLM.jl#366. The closest thing here is #153 but that doesn't address the issue of how to drop the rows with missings.