relmae {bvhar}

Evaluate the Model Based on RelMAE (Relative MAE)

Description

This function computes RelMAE given prediction result versus evaluation set.

Usage

relmae(x, pred_bench, y, ...)

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

## S3 method for class 'bvharcv'
relmae(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. RelMAE implements MAE of benchmark model as relative measures. Let MAE_b be the MAE of the benchmark model. Then

RelMAE = \frac{MAE}{MAE_b}

where MAE is the MAE of our model.

Value

RelMAE 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.