measures function

Forecasting Accuracy Measure Calculation

Given point forecasts and observations, calculate various forecasting accuracy measures.

measures(preds, obs)

Arguments

• preds: the point predictions for the test data period.
• obs: the observation series (training data and test data)

Returns

A named vector with the obtained criteria values is returned.

Details

Given one-step-ahead rolling forecasts as well as the whole series of given observations (training together with test data), different forecasting accuracy measures (MAE, RMSE, Pearson's correlation, MASE, RMSSE) are being calculated.

Examples

xt <- EXPENDITURES
xt_in <- window(xt, end = c(2017, 4))
yt <- log(xt_in)
est <- s_semiarma(yt, set_options(order_poly = 3), inflation_rate = "optimal")
fc_results <- predict(est, n.ahead = 8, expo = TRUE)
point_fc <- fc_results@pred
measures(point_fc, xt)