mrae {bvhar}

Evaluate the Model Based on MRAE (Mean Relative Absolute Error)

Description

This function computes MRAE given prediction result versus evaluation set.

Usage

mrae(x, pred_bench, y, ...)

## S3 method for class 'predbvhar'
mrae(x, pred_bench, y, ...)

## S3 method for class 'bvharcv'
mrae(x, pred_bench, y, ...)

Arguments

x

Forecasting object to use

pred_bench

The same forecasting object from benchmark model

y

Test data to be compared. should be the same format with the train data.

...

not used

Details

Let e_t = y_t - \hat{y}_t. MRAE implements benchmark model as scaling method. Relative error is defined by

r_t = \frac{e_t}{e_t^{\ast}}

where e_t^\ast is the error from the benchmark method. Then

MRAE = mean(\lvert r_t \rvert)

Value

MRAE vector corresponding to each variable.

References

Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679–688.