directional_accuracy_measures function

Directional accuracy measures

A collection of accuracy measures based on the accuracy of the prediction's direction (say, increasing or decreasing). data

Format

An object of class list of length 3.

MDA(.resid, .actual, na.rm = TRUE, reward = 1, penalty = 0, ...)

MDV(.resid, .actual, na.rm = TRUE, ...)

MDPV(.resid, .actual, na.rm = TRUE, ...)

directional_accuracy_measures

Arguments

• .resid: A vector of residuals from either the training (model accuracy) or test (forecast accuracy) data.
• .actual: A vector of responses matching the fitted values (for forecast accuracy, new_data must be provided).
• na.rm: Remove the missing values before calculating the accuracy measure
• reward, penalty: The weights given to correct and incorrect predicted directions.
• ...: Additional arguments for each measure.

Details

MDA(): Mean Directional Accuracy MDV(): Mean Directional Value MDPV(): Mean Directional Percentage Value

References

Blaskowitz and H. Herwartz (2011) "On economic evaluation of directional forecasts". International Journal of Forecasting, 27 (4), 1058-1065.