Calculation of the average absolute mean error (AABSE). The AABSE is also called mean absolute error (MAE).
Usage
aabse(actual, estimated)
Arguments
actual
vector, consisting of the observed values.
estimated
vector, consisting of the estimated values.
Details
Calculation of the AABSE according to the formula:
$$\mbox{AABSE}=\frac{1}{m}|\bm{\epsilon}|\bm{\iota},$$
whereas $\bm{\epsilon}$ is the vector of the yield or price errors of the bonds and $\bm{\iota}$ is a column vector filled with ones. $m$ is the number of bonds, for which $\bm{\epsilon}$ has been calculated.