TSPred (version 5.1.1)

NMSE: NMSE error of prediction

Description

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

Usage

NMSE(actual, prediction, train.actual)

Value

A numeric value of the NMSE error of prediction.

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.

Author

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])