NMSE {TSPred}

NMSE error of prediction

Description

The function calculates the NMSE error between actual and predicted values.

Usage

NMSE(actual, prediction, train.actual)

Arguments

actual

A vector or univariate time series containing actual values for a time series that are to be compared against its respective predictions.

prediction

A vector or univariate time series containing time series predictions that are to be compared against the values in actual.

train.actual

A vector or univariate time series that was used to train the model that produced the preditions in prediction.

Value

A numeric value of the NMSE error of prediction.

Author(s)

Rebecca Pontes Salles

References

Z. Chen and Y. Yang, 2004, Assessing forecast accuracy measures, Preprint Series, n. 2004-2010, p. 2004-10.

See Also

MSE,MAPE,sMAPE, MAXError

Examples

data(SantaFe.A,SantaFe.A.cont)
pred <- marimapred(SantaFe.A,n.ahead=100)
NMSE(SantaFe.A.cont[,1], pred, SantaFe.A[,1])