accuracy.gts: In-sample or out-of-sample accuracy measures for forecast grouped and hierarchical model
Description
Returns a range of summary measures of the forecast accuracy. The function measures
out-of-sample forecast accuracy based on (holdout data - forecasts) and in-sample
accuracy when setting keep.fitted = TRUE in the forecast.gts.
All measures are defined and discussed in Hyndman and Koehler (2006).
Usage
accuracy.gts(fcasts, test, levels)
Arguments
fcasts
An object of class gts, containing the forecasted hierarchical or grouped
time series. In-sample accuracy at the bottom level returns when test
is missing.
test
An object of class gts, containing the holdout hierarchical time series
levels
Return the specified level(s), when carrying out
out-of-sample accuracy.
Value
Matrix giving forecast accuracy measures.
MEMean Error
RMSERoot Mean Square Error
MAEMean Absolute Error
MAPEMean Absolute Percentage Error
MPEMean Percentage Error
MASEMean Absolute Scaled Error
Details
MASE calculation is scaled using MAE of in-sample naive forecasts for non-seasonal time series, and in-sample seasonal naive forecasts for seasonal time series.
References
R. J. Hyndman and A. Koehler (2006), Another look at measures of forecast accuracy, International Journal of Forecasting, 22, 679-688.