R: In-sample or out-of-sample accuracy measures for forecast...
accuracy.gts
R Documentation
In-sample or out-of-sample accuracy measures for forecast grouped and hierarchical model
Description
Returns a range of summary measures of the forecast accuracy. The function measures
out-of-sample forecast accuracy based on (holdout data - forecasts) and in-sample
accuracy at the bottom level when setting keep.fitted = TRUE in the
forecast.gts. All measures are defined and discussed in Hyndman
and Koehler (2006).
Usage
accuracy.gts(fcasts, test, levels)
Arguments
fcasts
An object of class gts, containing the forecasted hierarchical or grouped
time series. In-sample accuracy at the bottom level returns when test
is missing.
test
An object of class gts, containing the holdout hierarchical time series
levels
Return the specified level(s), when carrying out
out-of-sample accuracy.
Details
MASE calculation is scaled using MAE of in-sample naive forecasts for non-seasonal time series, and in-sample seasonal naive forecasts for seasonal time series.
Value
Matrix giving forecast accuracy measures.
ME
Mean Error
RMSE
Root Mean Square Error
MAE
Mean Absolute Error
MAPE
Mean Absolute Percentage Error
MPE
Mean Percentage Error
MASE
Mean Absolute Scaled Error
Author(s)
Rob J Hyndman and Earo Wang
References
R. J. Hyndman and A. Koehler (2006), Another look at measures of forecast accuracy, International Journal of Forecasting, 22, 679-688.
See Also
hts, plot.gts, forecast.gts, accuracy
Examples
data <- window(htseg2, start = 1992, end = 2002)
test <- window(htseg2, start = 2003)
fcasts <- forecast(data, h = 5, method = "bu")
accuracy.gts(fcasts, test)
accuracy.gts(fcasts, test, levels = 1)